• Corpus ID: 246015903

Optimal trend following portfolios

@inproceedings{Valeyre2022OptimalTF,
  title={Optimal trend following portfolios},
  author={S{\'e}bastien Valeyre},
  year={2022}
}
This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends. The optimal portfolio is decomposed into four basic components that yield four basic portfolios: Markowitz, risk parity, agnostic risk parity, and trend following on… 

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