Challenging the Robustness of Optimal Portfolio Investment With Moving Average-based Strategies

The aim of this paper is to compare the performance of a theoretically optimal portfolio with that of a moving average based strategy in the presence of parameters misspecification. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we provide the asymptotic expectation of the logarithmic return as a function of the model parameters. Then, numerical examples are given, showing that an investment strategy using a moving average crossover rule is more robust than the optimal strategy under parameters misspecification