The when-to-trade decision is a critical yet neglected component of modern asset management. Typical rebalancing rules are based on suboptimal heuristics. Rebalancing is necessarily a statistical similarity test between current and proposed optimal portfolios. Available tests ignore many real...

This article introduces the Resampling approach to Portfolio modeling, targeted at reducing the effect of estimation error present in any practical implementation of a Portfolio Model. Resampling is a method used in portfolio modeling to try to obtain better out of sample performance for given...