Multi-asset scenario building for trend-following trading strategies

DOI10.1007/S10479-020-03547-2OpenAlexW3008183280MaRDI QIDQ2241067

Andreas Thomann

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/186006/1/multiAssetFHS.pdf

zbMATH Keywords

trading strategymomentummoving averagefiltered historical simulationscenario buildingtrend-following

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

• Unnamed Item
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Adopting genetic algorithms for technical analysis and portfolio management
• Robust portfolios: contributions from operations research and finance
• Pricing American-style securities using simulation
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach

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