Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy

By Alban Etienne, Jean-Jacques Ohana, Eric Benhamou, Béatrice Guez, Ethan Setrouk, Thomas Jacquot

Published 2025-10-28

Everscope rating

1517.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Bayesian Dynamic Horizon Allocation with Persistence Filtering. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2510.23150 · Paper rankings

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