RT Journal Article SR Electronic T1 Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion JF The Journal of Trading FD Institutional Investor Journals SP 40 OP 46 DO 10.3905/JOT.2009.4.3.040 VO 4 IS 3 A1 Charles-Albert Lehalle YR 2009 UL https://pm-research.com/content/4/3/40.abstract AB This article extends algorithmic trading to a strategic level detailing two examples: the balanced portfolio and the case of a mean-reversion proprietary trading strategy. It shows how to modify the usual Almgren-Chriss framework to obtain dedicated trading curves.Moreover, an algebraic approach that can help to solve explicitly a lot of strategic embeddings and a geometrical interpretation of the “averaging” processes that are typically encountered during such optimisations are presented.TOPICS: Statistical methods, portfolio management/multi-asset allocation, analysis of individual factors/risk premia