Month: July 2018
We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.
The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.
Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?
Measuring Process Diversification in Trend Following
By Corey Hoffstein
On July 30, 2018