Properties of Constant-mix Strategies

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• Constant-mix Strategy
  • bond/stock mix constant in percentage terms
  • in a continuous process, constant every instant
  • in a binomial process, constant every period

• Ending value relatives
  • lognormally distributed

• If stocks are LLPW, for any constant mix strategy
  • ln(w) linearly related to ln(P)
  • ln(w) linearly related to ln(w) for any other constant mix strategy