An Empirical Analysis of Performance in Asset Allocation
E-Book, Englisch, 188 Seiten, eBook
ISBN: 978-1-137-35983-4
Verlag: Palgrave Macmillan US
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1. Fundamental versus Technical Analysis 2. Investment Performance 3. Performance Drivers 4. Performance Sensitivity 5. Individual Securities 6. Concluding Remarks