A few comments about this article. David Wilkinson and I decided to post this piece on the mathematics of rebalancing and a "fix" for the return formulation of classical MVO. It's a pretty techincal piece, and gets quite dense at places. Not for everybody.

It's also in .pdf format, so it will require Adobe Acrobat 3.0, which may be downloaded here.

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That said, here it is:

Diversification, Rebalancing, and the Geometric Mean Frontier
An Improved MVO Algorithm

copyright (c) 1997, William J. Bernstein