I posted some links on this before in
Here are some more papers …
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- discusses Shannon’s Demon, Parrondo’s Paradox, the Rebalancing Risk Premium, and discusses special cases such as Samuelson’s critique, Warren Buffet, minimum variance portfolios and when to apply which weighting ex-ante.
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AQR - Portfolio Rebalancing - Common Misconceptions (2017)
- discusses four common misconceptions (RP as smart beta, constant risk, risk-targeting, variance drag)
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Ahonen - Optimal Time to Rebalance a Portfolio and Rebalancing Timing Luck (blog entry)
- Compares randomly-selected rebalancing windows to fixed (Nth date of the month), and derives that “it has been advantageous to use the window of 7-10 days before the end-of-month”
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GestaltU - Volatility Harvesting and the Importance of Rebalancing (2012)
- introduces rebalancing through Shannon’s demon. Shows Dempster/Evstigneev/Schenk-Hoppé’s result that even with negative-CAGR assets, at a portfolio level rebalancing can yield (highly) positive returns given zero or negative correlations. Finds that this is possible with Nikkei 225 stocks and JGBs, both known to be negative over the 1995-2010 period.
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GestaltU - Rebalancing Resurrected (2011)
- finds that most asset advisors deliver less on asset selection (or, worse, stock picking) and more on frequent rebalancing.
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Dempster, Evstigneev, Schenk-Hoppé - The Joy of Volatility (2007)
- shows how an active strategy can create positive portfolio returns out of two assets with negative expected geometric growth
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Schenk-Hoppé, Evstigneev - From rags to riches: on constant proportion investment strategies (2001)
- self-financing constant proportions strategies have strictly positive exponential rates of growth, even under small transaction costs
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Dempster, Evstigneev, Schenk-Hoppé - Growing Wealth with Fixed-Mix Strategies (2009)