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Journal articles
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Abstract : 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://hal-centralesupelec.archives-ouvertes.fr/hal-02527992
Contributor : Delphine Le Piolet <>
Submitted on : Wednesday, April 1, 2020 - 3:40:58 PM
Last modification on : Friday, July 3, 2020 - 10:00:02 AM
Contributor : Delphine Le Piolet <>
Submitted on : Wednesday, April 1, 2020 - 3:40:58 PM
Last modification on : Friday, July 3, 2020 - 10:00:02 AM