Computational Model Library

Portfolio Optimization and Trading Strategies: a simulation approach (version 1.0.0)

Submitted by: Laura Mazzarino Software Framework: NetLogo Programming Language: NetLogo
financial markets agent based modeling and simulation

This model analyzes two investors forming their expectations with heterogeneous strategies in order to optimize their portfolios by means of a Sharpe ratio maximization. Traders are distinguished according to their methodology used in forecasting. Two acknowledged algorithms of technical analysis have been implemented to compare portfolios performances and assess profitability of each technique.

Release Notes

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Cite this Model

Alessio Emanuele Biondo, Laura Mazzarino (2022, March 20). “Portfolio Optimization and Trading Strategies: a simulation approach” (Version 1.0.0). CoMSES Computational Model Library. Retrieved from: https://www.comses.net/codebases/831ce91d-307d-4ee1-8921-268c620c44d2/releases/1.0.0/

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Contributors

Alessio Emanuele Biondo Laura Mazzarino

DOI

No assigned DOI

Model Version

1.0.0

License

GPL-3.0

Operating System

Mac OS

Programming Language

NetLogo

Dependencies

None listed

Publish Date

Sunday, March 20, 2022

Last Updated

Sunday, March 20, 2022

Downloads 17
Peer Review

Unreviewed

Version Submitter First published Last modified Status
1.0.0 Laura Mazzarino Sun Mar 20 19:10:08 2022 Sun Mar 20 19:10:08 2022 Published

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