英文标题：
《Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios
  in a Control-Theoretic Framework》
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作者：
Chung-Han Hsieh, John A. Gubner, B. Ross Barmish
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最新提交年份：
2018
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英文摘要：
  In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing literature, our focal point here is the rebalancing frequency which we include as an additional parameter in our analysis. The problem is first set in a control-theoretic framework, and then, the main question we address is as follows: In the absence of transaction costs, does high-frequency trading always lead to the best performance? Related to this is our prior work on betting, also in the Kelly context, which examines the impact of making a wager and letting it ride. Our results on betting frequency can be interpreted in the context of weight selection for a two-asset portfolio consisting of one risky asset and one riskless asset. With regard to the question above, our prior results indicate that it is often the case that there are no performance benefits associated with high-frequency trading. In the present paper, we generalize the analysis to portfolios with multiple risky assets. We show that if there is an asset satisfying a new condition which we call dominance, then an optimal portfolio consists of this asset alone; i.e., the trader has \"all eggs in one basket\" and performance becomes a constant function of rebalancing frequency. Said another way, the problem of rebalancing is rendered moot. The paper also includes simulations which address practical considerations associated with real stock prices and the dominant asset condition.
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中文摘要：
在本文中，受Kelly著名工作的启发，我们考虑了以期望对数增长最大化为目标的投资组合权重选择问题。除了现有文献之外，我们这里的重点是再平衡频率，我们在分析中将其作为附加参数。这个问题首先是在一个控制理论的框架内提出的，然后，我们要解决的主要问题如下：在没有交易成本的情况下，高频交易是否总能带来最佳的绩效？与此相关的是我们之前在博彩方面的工作，也是在凯利的背景下，它检查了下赌注并让它继续下去的影响。我们关于下注频率的结果可以在由一种风险资产和一种无风险资产组成的双资产组合的权重选择的背景下进行解释。关于上述问题，我们之前的结果表明，高频交易通常不会带来绩效效益。本文将分析推广到具有多重风险资产的投资组合。我们证明，如果有一个资产满足一个新的条件，我们称之为支配，那么一个最优投资组合就是由这个资产单独组成的；i、 例如，交易者“把所有鸡蛋都放在一个篮子里”，业绩成为再平衡频率的恒定函数。换言之，再平衡的问题变得毫无意义。本文还包括模拟，以解决与实际股票价格和主导资产状况相关的实际考虑。
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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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