ADAPTIVE ASSET ALLOCATION

We constructed a set of strategies that tie together the basic rules of momentum, risk parity, volatility parity, minimum variance. The equally wheighted strategy was used as a benchmark against which to define the goodness-of-fit of the previous ones. Starting with the base case using each of these strategies individually, combine progressively the different techniques by checking their eventual performance gains.

Following this link you can find the database and Matlab code used: https://drive.google.com/drive/folders/1_admE256gc5jGnp2dN2PRyqb3gDiLRcF?usp=sharing

ADAPTIVE ASSET ALLOCATION.pdf

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