The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure

The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure

The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The methodology of robust optimization, using the Ledoit–Wolf shrinkage method for obtaining stable estimates of the covariance ma...

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Bibliographic Details
Main Authors: Oleksandr Terentiev, Tatyana Prosiankina-Zharova, Volodymyr Savastiyanov, Valerii Lakhno, Vira Kolmakova
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Computation
Subjects:
cryptocurrency
portfolio of strategies
trading strategy
algorithmic trading
robust portfolio
Online Access:https://www.mdpi.com/2079-3197/9/7/77

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