Technical indicators are widely used by market participants to identify trends in asset prices and in trading volumes. However, it is unclear how to reconcile this approach with a portfolio selection policy that guide investment decisions in many assets at the same time. We bridge the gap between Markowitz approach to mean–variance portfolios and technical analysis by devising a portfolio strategy in which optimal weights are directly parameterized as a function of multiple trend-following signals. We present an empirical application in which four commonly used technical indicators are employed to obtain portfolios of all constituents of the S&P500 index.

市场参与者广泛使用技术指标来识别资产价格和交易量的趋势。然而，目前尚不清楚如何使这种方法与同时指导许多资产的投资决策的投资组合选择政策相协调。我们通过设计一种投资组合策略来弥合平均方差投资组合的 Markowitz 方法和技术分析之间的差距，其中最优权重被直接参数化为多个趋势跟踪信号的函数。我们提出了一个实证应用，其中使用四个常用的技术指标来获取标准普尔 500 指数所有成分的投资组合。