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Margrabe strategy a solution for the two-asset allocation problem, Finvex

Marc Wolterink, 13 December 2017

Finvex has published a research paper on the Margrabe best-of-two (MBo2) strategy, a rule-based dynamic investment solution for the two-asset allocation problem. The strategy, which involves yearly rebalancing the portfolio weights to 50-50 between a high-risk and low-risk asset, uses intra-year weight adjustments to chase the momentum of the best performing asset by replicating the value of a Margrabe option to exchange an asset for another asset.

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