@article {Lehalle40, author = {Charles-Albert Lehalle}, title = {Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion }, volume = {4}, number = {3}, pages = {40--46}, year = {2009}, doi = {10.3905/JOT.2009.4.3.040}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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 {\textquotedblleft}averaging{\textquotedblright} processes that are typically encountered during such optimisations are presented.TOPICS: Statistical methods, portfolio management/multi-asset allocation, analysis of individual factors/risk premia}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/4/3/40}, eprint = {https://jot.pm-research.com/content/4/3/40.full.pdf}, journal = {The Journal of Trading (Retired)} }