PT  - JOURNAL ARTICLE
AU  - Charles-Albert Lehalle
TI  - Rigorous Strategic Trading: <em>Balanced Portfolio and Mean-Reversion</em>
AID  - 10.3905/JOT.2009.4.3.040
DP  - 2009 Jun 30
TA  - The Journal of Trading
PG  - 40--46
VI  - 4
IP  - 3
4099  - https://pm-research.com/content/4/3/40.short
4100  - https://pm-research.com/content/4/3/40.full
AB  - This article extends algorithmic trading to a strategic level detailing two examples: the balanced portfolio and the case of a mean-reversion proprietary trading strategy. It shows how to modify the usual Almgren-Chriss framework to obtain dedicated trading curves.Moreover, an algebraic approach that can help to solve explicitly a lot of strategic embeddings and a geometrical interpretation of the “averaging” processes that are typically encountered during such optimisations are presented.TOPICS: Statistical methods, portfolio management/multi-asset allocation, analysis of individual factors/risk premia