Example of Volatility Pumping 1.0

Date Added: July 12, 2013 | Visits: 420

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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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