Article2009

Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion

18 citations0/0 files storedThe Journal of Trading

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

This article extends algorithmic trading to a strategic level detailing two examples: the balanced portfolio and the case of a mean-reversion proprietary trading strategy. It shows how to modify the usual Almgren-Chriss framework to obtain dedicated trading curves.Moreover, an algebraic approach that can help to solve explicitly a lot of strategic embeddings and a geometrical interpretation of the “averaging” processes that are typically encountered during such optimisations are presented. TOPICS:Statistical methods, portfolio management/multi-asset allocation, analysis of individual factors/risk premia

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References

2001Optimal execution of portfolio transactions 1989Anomalies: A Mean-Reverting Walk Down Wall Street 1999Optimal control of execution costs for portfolios 2006Bayesian Adaptive Trading with a Daily Cycle 2004Cointegration: an overview

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