Generalized Protective Momentum
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 (2024). Generalized Protective Momentum (https://www.mathworks.com/matlabcentral/fileexchange/61342-generalized-protective-momentum), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
file exchange/
Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 | Updated the description |