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Iginla2010

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tT
发表于 2011-7-13 13:03 | 只看该作者

Rebalancing strategies: CIPP

invest, borrow, stocks
Hi,

What happens if m * (Portfolio value - Floor) > Portfolio value ? Do we borrow at RFR to invest in stocks ?

Thanks,

Bern
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skycfa

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发表于 2011-7-13 13:03 | 只看该作者
never saw it referred this way but I would guess yes.

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bpdulog

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发表于 2011-7-13 13:03 | 只看该作者
it could happen- your cushion imagine the M at 125 or 130%. that is a great question. doubt we'd ever see that scenario on the test, but yeah, wonder if you'd just fully invest the portfolio or actually go so far as to lever up.

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ohai

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发表于 2011-7-13 13:03 | 只看该作者
The maximum you can reach is m*(Portfolio value - floor) = Portfolio value.

At that point all your portfolio is invested in stocks.

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