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rebalancing

Markets

Lucky Numbers: The overlooked Role of Rebalance Timing Luck

Download PDF Introduction: Rebalance Timing Luck Every trading strategy has some turnover in its portfolio constituents; otherwise, it would simply be a buy-and-hold strategy. Equally, every index has some periodical rebalancing (and turnover) in its constituents. Often, the point in time at which this reshuffling of the portfolio takes place Read more…

By BSIC, 2 years12 November 2023 ago
Currencies Markets Old Articles

A Markowitz Walk Down Crypto-land: Modern Assets for Modern Portfolios

Introduction The purpose of this article is to apply the mathematical framework of Modern Portfolio Theory to an unconventional asset class. Cryptocurrencies, Bitcoin included, are a novel and little known asset class with a relatively low market cap of $44 billion and very high volatility. By applying Markowitz’s Portfolio Theory Read more…

By BSIC, 8 years7 May 2017 ago

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