Multi-Asset Investment Process using Bayes Ensembles of Trading Models
Beschreibung
Since 2009, low interest rates and asset purchases by central banks are severely distorting investment opportunities and trends in financial markets.
The performance of active investment strategies decreased substantially since then.
This project aims to provide an investment process that finds the optimal long/short-positions in various liquid assets given prior information of historical performance for various trading models in different market regimes.
Eckdaten
Projektleitung
Prof. Dr. Peter Meier, Prof. Dr. Thomas Ott, Prof. Dr. Peter Schwendner
Projektteam
Dr. Stefan Glüge, Dr. Martin Schüle, Jann Stoz
Projektstatus
abgeschlossen, 03/2014 - 11/2015
Institut/Zentrum
Institut für Wealth and Asset Management (IWA); Institut für Computational Life Sciences (ICLS)
Drittmittelgeber
KTI