英文标题：
《Optimal trading strategies - a time series approach》
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作者：
Peter A. Bebbington and Reimer Kuehn
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最新提交年份：
2016
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英文摘要：
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz\' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which - for a given return - is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data.
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中文摘要：
受自协方差矩阵谱理论最新进展的推动，我们重新讨论了Markowitz的均值-方差投资组合优化方法在时域的重新表述。在其最简单的体现中，它适用于单个交易资产，并允许找到最佳交易策略，对于给定的回报，该策略对市场价格波动的影响最校该模型最初针对一系列综合价格过程进行研究，这些过程要么是二阶平稳的，要么表现为二阶平稳增量。注意从有限小样本估计自协方差矩阵的后果，并研究了自协方差矩阵的清洗策略，以减轻这些后果。最后，我们将我们的框架应用于真实世界的数据。
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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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