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Generalized Protective Momentum

version 1.0.0.0 (203 KB) by Semin Ibisevic
Implementation and example of the Generalized Protective Momentum trading strategy

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Updated 30 Jan 2017

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This file demonstrates the use of the Generalized Protective Momentum strategy (a variation of Protective Asset Allocation). The strategy constructs a portfolio consisting of risky and crash protection (CP) assets based on the methodology of Keller and Keuning (2016). Please refer to the references for an explanation of the methodology.
References:

Allocate Smartly 2017, Keuning & Keller’s Generalized Protective Momentum, accessed 30 January 2017, <https://allocatesmartly.com/keuning-kellers-generalized-protective-momentum/>

Keller, W.J. and Keuning, J.W., 2016, Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits, SSRN working paper, <https://ssrn.com/abstract=2759734>

Cite As

Semin Ibisevic (2020). Generalized Protective Momentum (https://www.mathworks.com/matlabcentral/fileexchange/61342-generalized-protective-momentum), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2013a
Compatible with any release
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