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.

The full story is only available to registered users and subscribers.

Sign Up now for access to our news and data.

Sign Up