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Challenging the robustness of optimal portfolio investment with moving average-based strategies

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 Ahmed BEL HADJ AYED, Front Office Quantitative Research chez BNP Paribas

 Friday, June 15, 2018

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. https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1468080?needAccess=true


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3 comments on article "Challenging the robustness of optimal portfolio investment with moving average-based strategies"

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 samira el faid, Trader international freelance chez Winproex

 Saturday, June 16, 2018



Hi

Winproex gives you predictions on cryotocurrency market over two hours ( what cryotocurrency bought and when to sell it).


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 samira el faid, Trader international freelance chez Winproex

 Saturday, June 16, 2018



Example


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 samira el faid, Trader international freelance chez Winproex

 Saturday, June 16, 2018



https://www.youtube.com/watch?v=YVbydWmNBBc#action=share

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