Portfolio implementation is an essential part of active investment strategies. The trading horizon-the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this...

Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...

We compare expected value and variance of terminal wealth for two simple but distinctly different portfolio approaches: fixed-weight with regular rebalancing and buy-and-hold with no rebalancing. We carry out statistical analysis under a variety of return assumptions and portfolio settings. For...