Empirical studies on dynamic trading strategies with autoregressive assets
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...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/146086 |