Perold-Sharpe Rebalancing Strategies In Practice
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DOI: 10.30525/2256-0742/2016-2-3-127-133
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References listed on IDEAS
- Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
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More about this item
Keywords
portfolio management; rebalancing; portfolio turnover; transaction costs; Monte Carlo simulation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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