For a market with m assets and T discrete trading sessions, Cover and Ordentlich (1998) found that the “Cost of Achieving the Best Rebalancing Rule in Hindsight” is p(T, m) = <sub>n<sub>1</sub> ···<sup>Σ</sup> n<sub>m</sub>=T</sub> (n<sub>1</sub>,<sup>T</sup>...,n<sub>m</sub>)(n<sub>1</sub>/T)(n<sub>1</sub> · · · (n<sub>m</sub>/T)<sup>n<sub>m</sub></sup>. Their super-replicating strategy is impossible to compute...