论文标题
投资组合之后的最佳趋势
Optimal trend following portfolios
论文作者
论文摘要
本文得出了基于趋势跟随信号的最佳投资组合。在早期相关的文章的基础上，它提供了一个统一的理论设置，以引入具有趋势和风险优势协方差矩阵的自相关模型。我们为趋势的协方差矩阵指定了实际相关模型。最佳投资组合分解为四个基本组成部分，它们产生了四个基本投资组合：Markowitz，风险平价，不可知论风险奇偶校验以及风险平等之后的趋势。经验反测试证实了所提出的最佳投资组合（应用于交叉贸易世界）的表现过大。因此，我们提供了一个统一的框架来描述和合理化早期开发的投资组合。
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 risk parity. The overperformance of the proposed optimal portfolio, applied to cross-asset trading universe, is confirmed by empirical backtests. We provide thus a unifying framework to describe and rationalize earlier developed portfolios.
