Optimal allocation of trend following strategies

DOI10.1016/j.physa.2015.03.078zbMath1400.91544arXiv1410.8409OpenAlexW2059462475MaRDI QIDQ1618529

Jeremy Serror, Denis S. Grebenkov

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.8409

zbMATH Keywords

futuresdiversificationoptimal allocationasset correlationsGaussian returnstrend following

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• urca
• cccp
• gogarch
• rneos

Cites Work

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• More stylized facts of financial markets: leverage effect and downside correlations