View License

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
Example of Volatility Pumping

Be the first to rate this file! 5 Downloads (last 30 days) File Size: 3.93 KB File ID: #28427 Version: 1.0
image thumbnail

Example of Volatility Pumping



This script demonstrates the phenomenon of excess growth in a constant rebalancing portfolio.

| Watch this File

File Information

The self-contained script demonstrates excess, volatility driven growth, in a rebalanced portfolio.

Based on the paper "Benchmarking and Rebalancing" by Gabay and Herlemont,, 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.

MATLAB release MATLAB 7.10 (R2010a)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.

Contact us