Optimal allocation of trend following strategies
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DOI: 10.1016/j.physa.2015.03.078
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Cited by:
- Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
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Keywords
Optimal allocation; Trend following; Asset correlations; Diversification; Gaussian returns; Futures;All these keywords.
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