M
BondAB
LI
InterbankAI
LD
ReservesRe
LO
DerivativeAD
Eq
Portfolio of securitiesAS
Other Invest AOI
ADATF
0-1
3
1
2
3
23td
adaptive expectationsADAtrend following rulesTFadaptive expectationsADA
trend following rulesTF
CRRA
–
Nelder-Mead
n*nBijroldrnew
tt
32
ijiii
SijUU0i0itt+12299%
ij
SjkiiiiRet=2ij
Cp
n*nCijroldrnew
t=1ij
iijt0.1
t=2
313
Re
Jaccard
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