Paper Info
Title
Adaptive Investment Strategies for Periodic Environments.
Abstract
In this paper, an adaptive investment strategy for environments with periodic returns on investment is presented. In this approach, an investment model is considered 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 is evaluated in the market via stylized return on investment function (RoI), which is modeled by a stochastic process with unknown periodicities and levels of noise. For comparison, two reference strategies are presented which represent the case of agents with zero knowledge and complete knowledge of the dynamics of the returns. An investment strategy based on technical analysis to forecast the next return is also considered. To account for the performance of the different strategies, some computer experiments are performed to calculate the average budget that can be obtained with them over a certain number of time steps. To assure fair comparisons, the parameters of each strategy are first tuned for budget maximization. Afterward, the performance of these strategies is compared for RoI's with different periodicities and levels of noise.
Year
DOI
Venue
2008
10.1142/S0219525908001933
ADVANCES IN COMPLEX SYSTEMS
Keywords
Field
DocType
Genetic algorithms,portfolio optimization,investment strategies,time series
Stochastic investment model,Computer experiment,Financial economics,Economics,Return on investment,Investment strategy,Stylized fact,Portfolio optimization,Maximization,Technical analysis
Journal
Volume
Issue
ISSN
11
5
0219-5259
Citations 
PageRank 
References 
0
0.34
5
Authors
1
Name
Order
Citations
PageRank
J.-Emeterio Navarro-Barrientos131.57