This is a summary of links featured on Quantocracy on Wednesday, 10/11/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Time Invariant Portfolio Protection [Quantpedia]In this article we are going to continue the discussion on portfolio insurance strategies. An exhaustive description of this methodology was already presented in the article Introduction to CPPI (https://quantpedia.com/introduction-to-cppi-constant-proportion-portfolio-insurance). This article will focus on an extension of the original model introduced by Estep and. Kritzman (1988), namely Time
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Dynamically combining mean reversion and momentum strategies [Hudson and Thames]Exploring Mean Reversion and Momentum Strategies in Arbitrage Trading Our recent reading group examined mean reversion and momentum strategies, drawing insights from the article, Dynamically combining mean reversion and momentum investment strategies by James Velissaris. The aim of the paper was to create a diversified arbitrage approach that combines mean reversion and momentum strategies