Multi-Asset Investment Process using Bayes Ensembles of Trading Models
At a glance
- Project leader : 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
- Funding partner : CTI
- Contact person : Peter Schwendner
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.