英文标题：
《Optimal Allocation of Trend Following Strategies》
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作者：
Denis S. Grebenkov and Jeremy Serror
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最新提交年份：
2014
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英文摘要：
We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and variance of the portfolio return. We construct then the optimal portfolio that maximizes risk-adjusted return by accounting for inter-asset correlations. The dynamic allocation problem for $n$ assets is shown to be equivalent to the classical static allocation problem for $n^2$ virtual assets that include lead-lag corrections in positions of TF strategies. The respective roles of asset auto-correlations and inter-asset correlations are investigated in depth for the two-asset case and a sector model. In contrast to the principle of diversification suggesting to treat uncorrelated assets, we show that inter-asset correlations allow one to estimate apparent trends more reliably and to adjust the TF positions more efficiently. If properly accounted for, inter-asset correlations are not deteriorative but beneficial for portfolio management that can open new profit opportunities for trend followers.
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中文摘要：
我们考虑多个相关资产上趋势跟踪（TF）策略的投资组合分配问题。在高斯市场和线性TF策略的简化假设下，我们推导了投资组合收益的均值和方差的解析公式。然后，我们通过考虑资产间的相关性，构建了风险调整收益最大化的最优投资组合。n美元资产的动态分配问题与n^2美元虚拟资产的经典静态分配问题等价，其中包括TF策略头寸的超前-滞后修正。针对两个资产案例和一个部门模型，深入研究了资产自相关性和资产间相关性各自的作用。与建议处理不相关资产的多元化原则相反，我们表明，资产间相关性使人们能够更可靠地估计明显的趋势，并更有效地调整TF头寸。如果适当考虑，资产间相关性不会恶化，但有利于投资组合管理，从而为趋势跟踪者打开新的利润机会。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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