hello, i am hunting down some literature regarding portfolio/investment weightings with rolling strategies. my example is: with this i mean: at time t you have wealth W. you have investment weighting x (0<x<=1) at time t+1 you have a signal telling you to invest in IBM based on some indicator your monitor. you invest x*W you now have a total wealth of .9*W available to invest at time t+2 you have a signal telling you to invest in GOOG based on an indicator. you invest x*W, with x*W in IBM in theory, you may have more investment opportunities than you have wealth, and some will be more profitable than others. how can you go about assuming an optimal rolling portfolio weighting given new entrances and exits occurring intraday, and some trades spanning many days. i have currently been pursuing a fixed weighting, but while this is safe it leaves a large portion of wealth un-utilized, and therefore a large amount of foregone gains (also possible losses, but so be it such is the game).