Computational Model Library

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

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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Download Version 1.0.0
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

Discussion

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