Computational Model Library

Portfolio Optimization and Trading Strategies: a simulation approach (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.

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Associated Publications

Portfolio Optimization and Trading Strategies: a simulation approach 1.0.0

Submitted by Laura Mazzarino Published Mar 20, 2022 Last modified Mar 20, 2022
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

.

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
Programming Language
NetLogo
Software Framework
NetLogo
Operating System
Mac OS
Publish Date
Sunday, March 20, 2022
Last Updated
Sunday, March 20, 2022
Downloads 49
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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