TY - JOUR T1 - Rigorous Strategic Trading: <em>Balanced Portfolio and Mean-Reversion</em> JF - The Journal of Trading SP - 40 LP - 46 DO - 10.3905/JOT.2009.4.3.040 VL - 4 IS - 3 AU - Charles-Albert Lehalle Y1 - 2009/06/30 UR - https://pm-research.com/content/4/3/40.abstract N2 - 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 ER -