Paper Info
Title
Controlling Investment Proportion In Cyclic Changing Environments
Abstract
In this paper, we present an investment strategy to control investment proportions for environments with cyclic changing returns on investment. For this, we consider an investment model where the agent decides at every time step the proportion of wealth to invest in a risky asset, keeping the rest of the budget in a risk-free asset. Every investment it; evaluated in the market modeled by stylized returns on investment (RoI). For comparison reasons, we present two reference strategies which represent agents with zero-knowledge and complete-knowledge of the: dynamics of the RoI, and we consider an investment strategy based on technical analysis. To account for the performance of the strategies, we perform some computer experiments to calculate the average budget that can. be obtained over a certain number of time steps. To assure for fair comparisons, we first tune the parameters of each strategy. Afterwards, we compare their performance for RoIs with fixed periodicity (stationary scenario) and for RoIs with changing periodicities (non-stationary scenario).
Year
Venue
Keywords
2008
ICINCO 2008: PROCEEDINGS OF THE FIFTH INTERNATIONAL CONFERENCE ON INFORMATICS IN CONTROL, AUTOMATION AND ROBOTICS, VOL ICSO: INTELLIGENT CONTROL SYSTEMS AND OPTIMIZATION
genetic algorithms, investment strategies, pattern recognition
Field
DocType
Citations 
Manufacturing engineering,Control engineering,Engineering
Conference
0
PageRank 
References 
Authors
0.34
5
1
Name
Order
Citations
PageRank
J.-Emeterio Navarro-Barrientos131.57