Empirical studies on dynamic trading strategies with autoregressive assets

• Main Author: Goh, Chian Yi
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Science::Mathematics::Applied mathematics::Operational research; Business::Finance::Financial management
• Online Access: https://hdl.handle.net/10356/146086
• Institution: Nanyang Technological University

In this paper, the out-of-sample performances of the sample-based multi-period dynamic mean-variance models and global minimum-variance models are evaluated under both time-consistent and time-inconsistent (precommitment) setting. Across the eight empirical datasets we apply, the time-consistent str...