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Igor Halperin

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Date
2022/11/10
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Job
Fidelity Investments | AI Asset Management
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New post on the Portfolio Optimizer blog about using a Brownian motion model to monitor a trading strategy -> https://lnkd.in/ekP4TvGkThis post is based on the article "You are in a drawdown. When should you start worrying?" by Adam Rej, Philip Seager and jean-philippe bouchaud, in which the mathematics of benchmarking the drawdowns of a live trading strategy v.s. those of a geometric Brownian motion model are introduced.As one example of application, I illustrate how to de-risk a portfolio based on the probability of the current drawdown ending "quickly".#quantitativefinance
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Integromat
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