Challenging the robustness of optimal portfolio investment with moving average-based strategies
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DOI: 10.1080/14697688.2018.1468080
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… read more here.
Keywords: average based; investment; challenging robustness; moving average ... See more keywords