时间： 2011年11月18日，周五，14:00-15:30
地点： Seminarraum -108 （地下室）, KIT计算机系主楼 (Geb. 50.34), Am Fasanengarten 5, 76131 Karlsruhe
（大学校园地图和会议地点）
报告人： Dipl.-Math. oec. 李泽旌
报告人单位： Institute für Stochastik, Fakultät für Mathematik, KIT
报告语言： 德语
报告摘要：
We analyze portfolio volatility and portfolio distribution in the presence of constraints on portfolio rebalancing frequency. We establish a central limit theorem for the relative difference between the continuously rebalanced portfolio and the discretely rebalanced portfolio. Applying this result, an asymptotic "volatility adjustment" is derived to correct for the effect of discrete rebalancing. We also examine the relationship between the discrete and continuous portfolios in the extreme tails.