Challenging the robustness of optimal portfolio investment with moving average-based strategies
Ahmed Bel Hadj Ayed, Grégoire Loeper and Frédéric Abergel
| Year of publication: |
2019
|
|---|---|
| Authors: | Bel Hadj Ayed, Ahmed ; Loeper, Grégoire ; Abergel, Frédéric |
| Subject: | Moving average crossovers | Optimal strategy | Parameter misspecification | Robustness | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1468080 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194624