2 papers
q-fin.PM2017
Trends and Risk Premia: Update and Additional Plots
Tung-Lam Dao, Daniel Hoehener, Yves Lempérière +3
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years…
q-fin.GN2016
Tail protection for long investors: Trend convexity at work
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble +3
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it…