Multi-Asset Investment Process using Bayes Ensembles of Trading Models

• Unité de recherche: INNOSUISSE
• Numéro de projet: 16127.1 PFES-ES
• Titre du projet anglais: Multi-Asset Investment Process using Bayes Ensembles of Trading Models

Description succincte (Allemand)

Multi-Asset Investment Process using Bayes Ensembles of Trading Models

Description succincte (Anglais)

Multi-Asset Investment Process using Bayes Ensembles of Trading Models

Résumé des résultats (Abstract) (Allemand)

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.

Résumé des résultats (Abstract) (Anglais)