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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

Persistent link: https://www.econbiz.de/10014541693

Optimal trading strategies with limit orders

Agliardi, Rossella; Gençay, Ramazan - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011686803

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Optimal Order Size in Pro-Rata Markets

Aldridge, Irene - 2014

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Persistent link: https://www.econbiz.de/10013061277

Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm

Drenovak, Mikica; Rankovic, Vladimir; Urošević, Branko; … - 2021

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

Persistent link: https://www.econbiz.de/10013215136

Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327