Challenging the robustness of optimal portfolio investment with moving average-based strategies
| Autor: | Frederic Abergel, Ahmed Bel Hadj Ayed, Grégoire Loeper |
|---|---|
| Přispěvatelé: | Mathématiques et Informatique pour la Complexité et les Systèmes (MICS), CentraleSupélec, Monash University [Clayton], Chaire de finance quantitative (FiQuant), CentraleSupélec-CentraleSupélec |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
050208 finance
Computer science Mathematical finance 05 social sciences Portfolio investment Trend following [SPI]Engineering Sciences [physics] Moving average 0502 economics and business Econometrics Portfolio 050207 economics Robustness (economics) General Economics Econometrics and Finance Finance |
| Zdroj: | Quantitative Finance Quantitative Finance, Taylor & Francis (Routledge), 2018, 19 (1), pp.123-135. ⟨10.1080/14697688.2018.1468080⟩ |
| ISSN: | 1469-7688 1469-7696 |
| DOI: | 10.1080/14697688.2018.1468080⟩ |
| Popis: | International audience; The aim of this paper is to compare the performance of a theoretically optimal portfolio with that of a moving average-based strategy in the presence of parameter misspecification. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein–Uhlenbeck process. For both strategies, we provide the asymptotic expectation of the logarithmic return as a function of the model parameters. Then, numerical examples are given, showing that an investment strategy using a moving average crossover rule is more robust than the optimal strategy under parameter misspecification. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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