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Example of Volatility Pumping 1.0

  Date Added: July 12, 2013  |  Visits: 211

Example of Volatility Pumping

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The self-contained script demonstrates excess, volatility driven growth, in a rebalanced portfolio.Based on the paper "Benchmarking and Rebalancing" by Gabay and Herlemont, yats.com, 19 Septembre 2007, this script reproduces example 1, showing the long-term rebalancing excess growth rate g*.There is an apparent paradox when considering a portfolio of risky assets that by rebalancing between them in constant proportions, under certain conditions, one can observe excess long-term growth above the expected best buy and hold strategy.This script reproduces previous known work and can act as a starting point for people interested in examining this in more detail.

Requirements: No special requirements
Platforms: Matlab
Keyword: Assets Conditions Constant Detail Examining Expected Interested Observe People Point Portfolio Proportions Risky Starting Strategythis
Users rating: 0/10

License: Freeware Size: 10 KB
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