求处 optimized Portfolio 后怎么rebalance

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收藏 2015-04-22

用前12个月的数据求出 Tangent和Optimal的 portfolio weight和Expected return后怎么rebalance第13个月

谢谢

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2015-4-23 09:32:20

Get your element funds at exactly the optimal weights by taking long or short positions relatively.
And keep doing this periodically.

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2015-4-23 20:54:54

cpamodeler 发表于 2015-4-23 09:32
Get your element funds at exactly the optimal weights by taking long or short positions relatively.
...

GOT IT, Cheers

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