The use of portfolio rebalancing as a profitable strategy (or “volatility harvesting”) is a hot topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the growth rate of a portfolio. Unfortunately, the terminology used in the literature is confusing. Terms...

The bottom-up route to portfolio diversification is clear: combining individual assets into a portfolio will lower portfolio risk. The top-down route of evaluating individual assets from the perspective of the diversified portfolio is widely applied in risk budgeting but neglected in return...