macrocephalopod

Serious rebalancing point If you have weights that (you think) maximize your objectives then keeping risk close to those weights is self-evidently better than letting them drift. If you think rebalancing harnesses something beyond that, you should model that thing explicitly.https://twitter.com/therobotjames/status/1442698592456613894 …

If expected return of target AA over some horizon less trading costs > current AA, rebalance, else keep current AA unless risk is beyond tolerance

See octopus thread https://twitter.com/macrocephalopod/status/1373216917058682881?s=20 … for the time-series case where your costs are linear in trade size...

for the market neutral case simply express the problem as a quadratic-conic program by encoding the L1 terms as non-negative variable pairs and solve using your favorite off the shelf convex optimizer