Unsolved Mysteries of Rebalancing

February 21, 2014

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

There is a lot not yet fully understood about rebalancing in portfolio management.  This 2013 paper from Nardon and Kiskiras is the best I have read yet. Kiskiras, John and Nardon, AndreaPortfolio Rebalancing: A Stable Source of AlphaJanuary 18, 2013Available at SSRN: http://ssrn.com/abstract=2202736 I wanted to share both a summary and extension of the article that I assembled in R with rCharts

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