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Meta-CTA Trading Strategies based on the Kelly Criterion

By Bernhard Meister
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of their assets in the risky asset and the remainder in a riskless asset. This requires regular... Show more
October 31, 2016
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Meta-CTA Trading Strategies based on the Kelly Criterion
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