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We present a model of capital allocation in a foreign exchange proprietary trading firm. The owner allocates capital to individual traders, who operate within strict risk limits. Traders specialize in individual currencies, but are given discretion over their choice of trading rule. The owner...
The purpose of these notes is to provide a systematic quantitative framework – in what is intended to be a ‘pedagogical’ fashion – for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence ‘mean-reversion via demeaning → regression →...
This study examines whether there is a significant change in hedging effectiveness on crude palm oil (CPO) futures market from January 1986 to December 2013. Eight hedging models with different mean and variance–covariance specifications have been evaluated. As the volatility of spot and futures...
In this article, I measure and compare the equity and bond market timing ability of hybrid-funds of funds (FOFs) and traditional hybrid funds. Hybrid mutual funds are funds that are invested in a combination of stocks and bonds. Hybrid funds of mutual funds are those that hold shares of other...
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