TY - GEN
T1 - Funds exchange
T2 - IEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr)
AU - Cherkassky, Vladimir
AU - Mulier, Filip
AU - Sheng, Anna B.
PY - 2000/1/1
Y1 - 2000/1/1
N2 - This paper describes a new approach for asset allocation and risk management called funds exchange. The funds exchange generically describes short-term trading of (broadly-based) mutual funds or indices based on statistical strategies aimed at achieving improved returns and, at the same time, reducing market risk (i.e., market exposure). Unlike many statistically-based trading and advisory systems trying to predict and benefit from the major (big) changes in the stock market, the funds exchange approach tries to capitalize on the short-term (daily) market volatility, i.e. small daily changes. This paper describes concepts and assumptions underlying this approach, and mathematical formulation of the funds exchange approach as a problem of predictive learning. Finally we show empirical evidence that the proposed approach can indeed provide improved returns and reduce market risk for SP 500 mutual funds.
AB - This paper describes a new approach for asset allocation and risk management called funds exchange. The funds exchange generically describes short-term trading of (broadly-based) mutual funds or indices based on statistical strategies aimed at achieving improved returns and, at the same time, reducing market risk (i.e., market exposure). Unlike many statistically-based trading and advisory systems trying to predict and benefit from the major (big) changes in the stock market, the funds exchange approach tries to capitalize on the short-term (daily) market volatility, i.e. small daily changes. This paper describes concepts and assumptions underlying this approach, and mathematical formulation of the funds exchange approach as a problem of predictive learning. Finally we show empirical evidence that the proposed approach can indeed provide improved returns and reduce market risk for SP 500 mutual funds.
UR - http://www.scopus.com/inward/record.url?scp=0033748760&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0033748760&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:0033748760
SN - 0780364295
T3 - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
SP - 3
EP - 7
BT - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
PB - IEEE
Y2 - 26 March 2000 through 28 March 2000
ER -