摘要翻译：
研究了连续时间离散后见优化下T.Cover的再平衡方案（Ordentlich and Cover，1998)。问题的回报等于最终的财富，这些财富将累积为1美元，存入事后确定的有限的（也许是杠杆式的）再平衡规则中的最佳规则。再平衡规则（或固定份额下注方案）相当于固定资产配置（即200美元的股票和100美元的债券），然后持续执行再平衡交易来抵消配置漂移。将后见优化限制在少量的再平衡规则（即2）中比Cover$\&$Company在其辉煌的通用投资组合理论(1986，1991，1996，1998)中采取的开创性方法有一些优势，在该理论中，一个人的在线交易业绩是相对于后见最佳的无杠杆再平衡规则的最终财富进行基准的。我们的方法让实践者表达一种先验的观点，即受青睐的资产配置之一（“下注”）$B\in\\{b_1,...,B_n}$在事后看来会表现得非常好。通过将我们的稳健性限制在一些离散的资产配置（而不是所有可能的资产配置），我们降低了再平衡期权的价格，并保证在规划期结束时实现相应更高的事后优化财富百分比。一个从业人员，谁生活在三角洲对冲这种变体的复盖的再平衡选择几十年，一定会看到有一天，他实现的复合年资本增长率非常接近最好的$B_I$，事后来看。因此，期权价格的最低点。
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英文标题：
《Cover's Rebalancing Option With Discrete Hindsight Optimization》
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作者：
Alex Garivaltis
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最新提交年份：
2019
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $\$1$ deposit into the best of some finite set of (perhaps levered) rebalancing rules determined in hindsight. A rebalancing rule (or fixed-fraction betting scheme) amounts to fixing an asset allocation (i.e. $200\%$ stocks and $-100\%$ bonds) and then continuously executing rebalancing trades to counteract allocation drift. Restricting the hindsight optimization to a small number of rebalancing rules (i.e. 2) has some advantages over the pioneering approach taken by Cover $\&$ Company in their brilliant theory of universal portfolios (1986, 1991, 1996, 1998), where one's on-line trading performance is benchmarked relative to the final wealth of the best unlevered rebalancing rule of any kind in hindsight. Our approach lets practitioners express an a priori view that one of the favored asset allocations ("bets") $b\in\{b_1,...,b_n\}$ will turn out to have performed spectacularly well in hindsight. In limiting our robustness to some discrete set of asset allocations (rather than all possible asset allocations) we reduce the price of the rebalancing option and guarantee to achieve a correspondingly higher percentage of the hindsight-optimized wealth at the end of the planning period. A practitioner who lives to delta-hedge this variant of Cover's rebalancing option through several decades is guaranteed to see the day that his realized compound-annual capital growth rate is very close to that of the best $b_i$ in hindsight. Hence the point of the rock-bottom option price.
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PDF链接：
https://arxiv.org/pdf/1903.00829