Rebalancing portfolios is an important event in the life of the portfolio manager, as transaction fees have non negligible impact on performance. We will focus on mitigating portfolio turnover via Tracking-error minimization under a QP framework.
A journey to quantitative analysis
Rebalancing portfolios is an important event in the life of the portfolio manager, as transaction fees have non negligible impact on performance. We will focus on mitigating portfolio turnover via Tracking-error minimization under a QP framework.