Can I read Evaluating Automated Portfolio Rebalancing on EtoBox?
Evaluating Automated Portfolio Rebalancing by Michael Peters is a document available to read on EtoBox.
What is Evaluating Automated Portfolio Rebalancing about?
The document summarizes an evaluation of four automated portfolio rebalancing algorithms: Universal Portfolio, Exponentiated Gradient, Anticor, and Constant Proportion Portfolio Insurance (CPPI). The author implements the algorithms based on prior research and tests their performance on real and simulated asset price data. Key findings include that the algorithms can outperform naive equal-weighting strategies, portfolios with two assets may maximize returns, and EG and Anticor specifically can provide impr
- Author
- Michael Peters
- Language
- EN