We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...

The increasing importance of liability-driven investment strategies and the shift towards retirement products with lower guarantees and more performance participation provide challenges for the development of portfolio optimization frameworks which cover these aspects. To this end, we establish...