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Scalable, Efficient And Optimal Discrete-Time Rebalancing Algorithms For Log-Optimal Investment Portfolio, Sujit Ranjan Das

Theses and Dissertations

Portfolio rebalancing decisions are crucial to today's portfolio managers especially in high frequency algorithmic trading environment. These decisions must be made fast in dynamic market conditions. We develop computational algorithms to determine optimal rebalance frequency (ORF) of a class of investment portfolio for a finite investment horizon. We choose log-optimal investment portfolio which is deemed to be impractical and cost-prohibitive due to inherent need for continuous rebalancing and significant overhead of trading cost. Optimality of such portfolio is assured only when for very long term investor horizon. We study the question of how often a log-optimal portfolio be rebalanced for …