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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Uniform risk allocation

Uniform risk allocation is the easiest method of portfolio allocation/optimization to understand. It basically says we take the total amount of risk we are allowed to or willing to take across the entire portfolio, and distribute it equally among all available trading strategies. Intuitively, this is a good starting point or a baseline allocation method when we don't have a historical performance record for any of the trading strategy, since nothing has been deployed to live trading markets, but in practice this is rarely ever used.

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Publisher Resources

ISBN: 9781789348347Supplemental Content