Generalized Protective Momentum
This file demonstrates the use of the Generalized Protective Momentum strategy (a variation of Protective Asset Allocation). The strategy constructs a portfolio consisting of risky and crash protection (CP) assets based on the methodology of Keller and Keuning (2016). Please refer to the references for an explanation of the methodology.
References:
Allocate Smartly 2017, Keuning & Keller’s Generalized Protective Momentum, accessed 30 January 2017, <https://allocatesmartly.com/keuning-kellers-generalized-protective-momentum/>
Keller, W.J. and Keuning, J.W., 2016, Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits, SSRN working paper, <https://ssrn.com/abstract=2759734>
인용 양식
Semin Ibisevic (2024). Generalized Protective Momentum (https://www.mathworks.com/matlabcentral/fileexchange/61342-generalized-protective-momentum), MATLAB Central File Exchange. 검색됨 .
MATLAB 릴리스 호환 정보
플랫폼 호환성
Windows macOS Linux카테고리
태그
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!file exchange/
버전 | 게시됨 | 릴리스 정보 | |
---|---|---|---|
1.0.0.0 | Updated the description |