Multi-Asset Investment Process using Bayes Ensembles of Trading Models
Description
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.
Key Data
Projectlead
Prof. Dr. Peter Meier, Prof. Dr. Thomas Ott, Prof. Dr. Peter Schwendner
Project team
Dr. Stefan Glüge, Dr. Martin Schüle, Jann Stoz
Project status
completed, 03/2014 - 11/2015
Funding partner
CTI
Further documents and links
Gertrudstrasse 8
8400 Winterthur