Mean Variance Optimal VWAP Trading
McCulloch and Казаков (2011) study hedging strategies in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“It is a metric of trade execution quality used by institutional traders to minimize the execution cost of large trades.”
AssetEquities
StrategyHedginglow-volatility anomaly
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodHedging strategies by year
FamilyHedging strategies20Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 982
AssetEquities10
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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