Probability Colloqium
      
  Date
              Time
              17:00-18:oo
          Location
              TU Berlin; MA041
          Masaaki Fukasawa (Osaka University)
      
            When to efficiently rebalance a portfolio
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing by a feasible finite-time rebalanc- ing under a general multi-dimensional Brownian semimartingale model of asset prices. In a high-frequency asymptotic framework, we derive an asymptotically efficient strategy among simple predictable processes.