This paper describes a community of investors forming their expectations with heterogeneous strategies in order to optimize their portfolios by means of a Sharpe ratio maximization. Traders are distinguished according to their methodology used in forecasting. Twelve acknowledged algorithms of technical analysis have been implemented to compare portfolios performances and assess profitability of each technique.
Portfolio Optimization and Trading Strategies: a Simulation Approach
Alessio Emanuele Biondo;Laura Mazzarino
;Damiano Rossello
2022-01-01
Abstract
This paper describes a community of investors forming their expectations with heterogeneous strategies in order to optimize their portfolios by means of a Sharpe ratio maximization. Traders are distinguished according to their methodology used in forecasting. Twelve acknowledged algorithms of technical analysis have been implemented to compare portfolios performances and assess profitability of each technique.File in questo prodotto:
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