Challenging the robustness of optimal portfolio investment with moving average-based strategies
Year of publication: |
2019
|
---|---|
Authors: | Bel Hadj Ayed, Ahmed ; Loeper, Grégoire ; Abergel, Frédéric |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 123-135
|
Subject: | Moving average crossovers | Optimal strategy | Parameter misspecification | Robustness | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Theorie | Theory | Experiment | Modellierung | Scientific modelling | Anlageverhalten | Behavioural finance |
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