Multi-Asset Investment Process using Bayes Ensembles of Trading Models
Auf einen Blick
- Projektleiter/in : Prof. Dr. Peter Meier, Prof. Dr. Thomas Ott, Prof. Dr. Peter Schwendner
- Projektteam : Dr. Stefan Glüge, Dr. Martin Schüle, Jann Stoz
- Projektstatus : abgeschlossen
- Drittmittelgeber : KTI
- Kontaktperson : Peter Schwendner
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.