Student Work

A Novel Method of Applying Mean-Variance Analysis to Forex Trading Systems to Reduce Risk

Public

Downloadable Content

open in viewer

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 discontinuous 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.

  • This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
Creator
Subject
Publisher
Identifier
  • E-project-102617-130519
Keyword
Advisor
Year
  • 2017
Date created
  • 2017-10-26
Location
  • Worcester
Resource type
Rights statement

Relations

Items

Items

Permanent link to this page: https://digital.wpi.edu/show/m039k511n