Empirical studies on dynamic trading strategies with autoregressive assets

• المؤلف الرئيسي: Goh, Chian Yi
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Science::Mathematics::Applied mathematics::Operational research; Business::Finance::Financial management
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/146086
• المؤسسة: 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...