Unsolved Mysteries of Rebalancing
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There is a lot not yet fully understood about rebalancing in portfolio management. This 2013 paper from Nardon and Kiskiras is the best I have read yet. Kiskiras, John and Nardon, AndreaPortfolio Rebalancing: A Stable Source of AlphaJanuary 18, 2013Available at SSRN: http://ssrn.com/abstract=2202736 I wanted to share both a summary and extension of the article that I assembled in R with rCharts
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