In this webcast, Sébastien Page, CFA, discusses the following:
• Balancing the cost of sub-optimal portfolio weightings with the cost of restoring the optimal weights
Sébastien Page, CFA, discusses the following:
- Balancing the cost of sub-optimal portfolio weightings with the cost of restoring the optimal weights
- Multi-period optimization (dynamic programming with Markowitz heuristic) to determine when and how to rebalance a portfolio
The background articles for this presentation are:
- "Optimal Execution for Portfolio Transitions," by Mark Kritzman, CFA, Simon Myrgren, and Sébastien Page, CFA, in The Journal of Portfolio Management, Spring 2007, Vol. 33, No. 3: 33-39.
- "Single-Period Mean–Variance Analysis in a Changing World," by Harry M. Markowitz and Erik L. van Dijk in Financial Analysts Journal, March/April 2003, Vol. 59, No. 2: 30-44.
Please note that text may be difficult to read in this recording. The presentation slides are available for download in the video player.
Optimal Rebalancing (audio)