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Continuously Rebalanced Investment Strategies

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  • Mark Rubinstein.
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    Bibliographic Info

    Paper provided by University of California at Berkeley in its series Research Program in Finance Working Papers with number RPF-205.

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    Date of creation: 01 Jan 1991
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    Handle: RePEc:ucb:calbrf:rpf-205

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    Cited by:
    1. Sinn, Hans-Werner, 2003. "Weber’s law and the biological evolution of risk preferences: The selective dominance of the logarithmic utility function, 2002 Geneva risk lecture," Munich Reprints in Economics 19612, University of Munich, Department of Economics.
    2. Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, . "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," IEW - Working Papers 128, Institute for Empirical Research in Economics - University of Zurich.
    3. Moshe Arye Milevsky & Steven Posner, 1998. "A theoretical investigation of randomized asset allocation strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 117-130.
    4. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk," Discussion Papers 02-18, University of Copenhagen. Department of Economics.
    5. MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.

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