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Generalized Protective Momentum

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


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.

Allocate Smartly 2017, Keuning & Keller’s Generalized Protective Momentum, accessed 30 January 2017, <>

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

Cite As

Semin Ibisevic (2020). Generalized Protective Momentum (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (1)

Valeri Disko

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
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