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There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined… Click to show full abstract
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to successful investment. In this paper, we aim at an analysis of two aspects that may have an impact on investment performance: diversity of assets and inclusion of cash in the portfolio. We also propose two new management strategies based on the MACD and RSI factors known from technical analysis. Monte Carlo simulations within the Heston model of a market are used to perform numerical experiments.
Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2021
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