Timing portfolio strategies with exponential Lévy processes View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2019-02

AUTHORS

Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci

ABSTRACT

This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric Lévy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions. More... »

PAGES

97-127

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y

DOI

http://dx.doi.org/10.1007/s10287-018-0332-y

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1106250951


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