This paper addresses the optimal rebalancing problem of a long-short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential leverage risks, frequent rebalancing may become...

In a highly interconnected financial economy, deciphering co-dependencies between asset prices and their time-varying dynamics is challenging and important for sound financial decisions. This paper develops a framework to study dynamic features of a financial network, that incorporates...