The Portfolio Allocation based on Interval Time Series
| Autor: | Yi-HsuanLiu, 劉怡萱 |
|---|---|
| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 The aim of this study is to optimize the trading strategy based on interval time series. We use daily opening price, closing price, the highest price and the lowest price to construct the model. Then, use this model to predict the highest and lowest prices step by step. Assume that the closing price has an uniform distribution with the parameters of upper bound to be the estimated highest price and lower bound to be the estimated lowest price. Finally, the optimal portfolio weights are obtained by using expected utility theory and Mean-Variance portfolio model. In empirical study, we perform the optimization trad- ing strategies of above two decision making methods in three different periods by using the historical observations to estimate the parameters respectively. The results show that the uniform assumption for the closing price have higher profits than the traditional one. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|