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...

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...

I present a generalized benchmarking theory on portfolio selection relative to a market index. Using the bias-variance trade-off of the tracking error, analytical conditions are derived to describe when it is optimal for a portfolio of risky assets to follow the index, or align the portfolio...

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the...

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...

We study Roll's (1992) conjecture that there may exist an implicit value in index-tracking (IVIT) relative to forming mean-variance (MV) optimal portfolios under estimation error. While index-tracking portfolios are deemed MV inefficient ex-ante, it is unclear whether this is the case when...