Füss, Roland; Miebs, Felix; Trübenbach, Fabian - In: Journal of Banking & Finance 43 (2014) C, pp. 14-28
This article proposes a novel approach to portfolio revision. The current literature on portfolio optimization uses a somewhat naïve approach, where portfolio weights are always completely revised after a predefined fixed period. However, one shortcoming of this procedure is that it ignores...