Analytical solutions of optimal portfolio rebalancing

Liu, D

Liu, D (reprint author), AllianceBernstein LP, SVP, 1345 Ave Amer, New York, NY 10105 USA.; Liu, D (reprint author), AllianceBernstein LP, Private Client Investment Strategy, 1345 Ave Amer, New York, NY 10105 USA.

QUANTITATIVE FINANCE, 2019; 19 (4): 683