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Continuously Rebalanced Investment Strategies

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  • Mark Rubinstein.

Abstract

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Suggested Citation

  • Mark Rubinstein., 1991. "Continuously Rebalanced Investment Strategies," Research Program in Finance Working Papers RPF-205, University of California at Berkeley.
  • Handle: RePEc:ucb:calbrf:rpf-205
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    Cited by:

    1. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2006. "Markets do not select for a liquidity preference as behavior towards risk," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 279-292, February.
    2. Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, 2002. "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 465-487, December.
    3. Hans-Werner Sinn, 2003. "Weber's Law and the Biological Evolution of Risk Preferences: The Selective Dominance of the Logarithmic Utility Function, 2002 Geneva Risk Lecture," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 28(2), pages 87-100, December.
    4. 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.
    5. Napat Rujeerapaiboon & Daniel Kuhn & Wolfram Wiesemann, 2016. "Robust Growth-Optimal Portfolios," Management Science, INFORMS, vol. 62(7), pages 2090-2109, July.
    6. 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.
    7. repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0621-5 is not listed on IDEAS

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