Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 32

 Investors typically rebalance a portfolio whose weights have drifted away from its optimal targets based on the passage of time or distance from the optimal targets.

 Investors should approach rebalancing more rigorously by recognizing that the decision to rebalance or not affects the choices the investor will face in the future.

 Dynamic programming can be used to determine an optimal rebalancing schedule that explicitly balances the cost of transacting with the cost of holding a suboptimal portfolio.

 Unfortunately, dynamic programming can only be applied to portfolios with a few asset classes because it suffers from the curse of dimensionality.

 For portfolios with more than just a few asset classes, investors should use a quadratic heuristic developed by Harry Markowitz and Erik van Dijk, which easily accommodates several hundred assets.