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摘要翻译：
我们引入了一个新的通用框架来构造给定历史指标的最佳交易策略。我们以最高的预期收益构建独特的交易策略。这个最优策略可以直接实施，或者它的预期收益可以作为一个基准来评估给定指标与其他建议的最优策略的距离有多远。另外，我们还构建了具有最高信息比率的独特交易策略。在正常情况下，当交易的证券收益接近于零时，对于合理的相关性，绩效差异在经济上是不显著的。当相关性接近1时，期望收益最高的交易策略的最大信息比率为1.32，而信息比率最高的交易策略的最大信息比率为无穷大。
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英文标题：
《Constructing the Best Trading Strategy: A New General Framework》
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作者：
Philip Z. Maymin and Zakhar G. Maymin
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最新提交年份：
2011
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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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英文摘要：
We introduce a new general framework for constructing the best trading strategy for a given historical indicator. We construct the unique trading strategy with the highest expected return. This optimal strategy may be implemented directly, or its expected return may be used as a benchmark to evaluate how far away from the optimal other proposed strategies for the given indicators are. Separately, we also construct the unique trading strategy with the highest information ratio. In the normal case, when the traded security return is near zero, and for reasonable correlations, the performance differences are economically insignificant. However, when the correlation approaches one, the trading strategy with the highest expected return approaches its maximum information ratio of 1.32 while the trading strategy with the highest information ratio goes to infinity.
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PDF链接：
https://arxiv.org/pdf/1108.0837
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