Bibliography

We include here a list of relevant papers on trend, carry and value strategies as well as asset allocation or portfolio construction methods.

• Y. Lempérière, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud, Two centuries of trend following, arXiv.org (link)

• Vineer Bhansali, Josh Davis, Matt Dorsten and Graham A. Rennison, Carry and Trend in Lots of Places, The Journal of Portfolio Management, Summer 2015 (link)

• Andrew Sheets, Phanikiran L. Naraparaju, Serena W. Tang, Wanting Low and Elizabeth Volynsky, Cross Asset Quant: Why We Like Carry, Morgan Stanley Research, September 2016 (link)

• Boris Gnedenko and Igor Yelnik, Dynamic Risk Allocation with Carry, Value and Momentum, Journal of Investment Strategies, Vol.6(1), 2016, pp.25-45 (link)

• Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse H. Pedersen and Evert B. Vrugt, Carry, Journal of Financial Economics, 2016 (link)

• Sébastien Maillard, Thierry Roncalli and Jérôme Teiletche, On the properties of equally-weighted risk contributions portfolios, (link)

• Raphael Benichou, Yves Lempérière, Emmanuel Sérié, Julien Kockelkoren, Philip Seager, Jean-Philippe Bouchaud and Marc Potters, Agnostic risk parity: taming known and unknown unknowns, Journal of Investment Strategies, Volume 6, Number 3 (June 2017) (link)

• Denis B. Chaves, Jason C. Hsu, Feifei Li and Omid Shakernia, Efficient algorithms for computing risk parity portfolio weights, Journal of Investing, vol. 21, no. 3, Fall 2012, pp. 150-163 (link)

• Benjamin Bruder and Thierry Roncalli, Managing Risk Exposures using the Risk Budgeting Approach, (link)