volume 2, issue 4, P975-1001 1996
DOI: 10.1017/s1357321700004803
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A.J. Wise

Abstract: ABSTRACTAn analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.