Could anyone point me to research/papers that deal with trading on moving averages crossover where the length of the fast MA depends on realized vol? If you know of any trading strategy that is somehow similar to this concept please let me know.Thank you,Dudley

I read about the Turtle trading rules long time ago. I may use some kind of momentum signals but probably with a combination of other signals. Thanks for bringing it to my attention.

Thanks for the suggestions. Personally, I am more inclined to target vol (or combine vol modeling with momentum) than using portfolio insurance strategies. CPPI and OBPI got a bad reputation during the subprime crisis.

Good to know, thanks. However, even if VSPY liquidity was much better, that would not be applicable to what I need to do. I already have a set of asset classes that I am obligated to use. Besides the paper from Hocquard, Ng, Papageorgiou, what is another volatility control framework?

Downloaded the paper below, just what the doctor ordered. Many thanks. If you have more suggestions for papers to read please let me know.

The objective is mostly to mitigate/control risk. I am hoping to find something that is not CPPI or OBPI.

Could anyone suggest a decent strategy ? or reference a paper - for Dynamic Asset Allocation (i.e. long only asset classes strategy)? Thanks.

<t>I would like to simulate paths of multivariate times series. I coded Monte carlo simulation (based on PCA) that gives me one step simluated asset returns. I am pretty happy with that, however now I need to forecast multiple steps. I am worried if I just concatenate multiple (multivariate) returns...

Right - I did not mean to imply that given that we have only one spread point the h(t) must be constant. The h(t) will end up constant in our model.Let me restate the question: what is a better - more realistic - assumption for the hazard rate assuming we have only one point ?

<t>We use Hazard Rate Model to price our CDS instruments. Every day we input the CDS spread curve (one or more points), from that and the recovery rate we derive the hazard curves and from that our PnL.Let's assume I only know one CDS spread 5Y point for my CDS. As a consequence, the hazard rate wil...

I need to price CDOs. Any suggestions what pricing software I should use ?I have some experience with KMV Portfolio Manager and I have heard they also provide CDO Analyzer that sits on top of it. Does it sound like a good solution ?Thanks,Dudley