Exact solutions are presented for the mean, variance, and skewness of compound portfolio returns, with and without periodic rebalancing, in a setting where single-period returns are symmetric. More frequent rebalancing reduces portfolio volatility and is unambiguously preferred by mean-variance...

Portfolios formed on a time-varying basis from the principal components of the factors compiled by Chen and Zimmerman (CZ) and Jensen, Kelly, and Pedersen (JKP) display large and robust out-of-sample Sharpe ratios, implying that the factors strongly forecast the cross-section of stock returns....