36 citations · 40 across the 2 of their papers we have counts for
2 papers
q-fin.PM2014★ 4 cited
Optimal Allocation of Trend Following Strategies
Denis S. Grebenkov, Jeremy Serror
We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strat…
q-fin.ST2013★ 36 cited
Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model
D. S. Grebenkov, J. Serror
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probabi…