Faculty Advisor

Radzicki, Michael J.

Abstract

Maximizing profitability and minimizing risk in financial assets portfolios has been commonly solved with Mean-Variance Analysis (MVA). Trading systems, unlike investments, cannot be organized into portfolios through MVA due to is continuous returns. Through a novel method to discretize trade system data into time series, MVA was then applied to custom forex trading systems and the optimized portfolio reduced risk by approximately 10% in comparison to several baseline portfolio configurations. The method provides a crude but general solution to optimizing trading system portfolios.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2018

Project Type

Interactive Qualifying Project

Accessibility

Unrestricted

Advisor Department

Social Science and Policy Studies

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