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July 2012
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181 Reads
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4 Citations
SSRN Electronic Journal
We discuss here a dynamic implementation of the leverage space portfolio theory in the form of DJ-LSP position sizing index implemented the Dow Jones indexes. Our emphasis in this case study is on the practical issues related to the implementation.
... The purpose of this work is to verify and classify the market trends via well-calibrated trading strategies. The technique of money management (Zhu et al. 2012;Vince and Zhu 2013a;Zhu 2007;de Prado et al. 2013) can be considered as future works to be applied to the basic strategies. ...
July 2012
SSRN Electronic Journal
