Timing portfolio strategies with exponential Lévy processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10240128" target="_blank" >RIV/61989100:27510/19:10240128 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007%2Fs10287-018-0332-y" target="_blank" >https://link.springer.com/article/10.1007%2Fs10287-018-0332-y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10287-018-0332-y" target="_blank" >10.1007/s10287-018-0332-y</a>
Alternative languages
Result language
angličtina
Original language name
Timing portfolio strategies with exponential Lévy processes
Original language description
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. (C) 2018, Springer-Verlag GmbH Germany, part of Springer Nature.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Management Science
ISSN
1619-697X
e-ISSN
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Volume of the periodical
16
Issue of the periodical within the volume
1-2
Country of publishing house
US - UNITED STATES
Number of pages
31
Pages from-to
97-127
UT code for WoS article
000458627300006
EID of the result in the Scopus database
2-s2.0-85052521986