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National Repository of Grey Literature

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A growth maximizing contrarian trading strategy Janča, Marek ; Krištoufek, Ladislav (advisor) ; Havránek, Tomáš (referee) Účelem práce je vytvořit obchodní strategii, která by využívala jevu "contrarian profitability". První část práce se věnuje samotnému odvozování strategie. Nejprve využijeme faktu, že strategie maximalizuje růst, právě pokud v každé periodě maximalizuje logaritmus hodnoty našeho bohatství. Poté log-optimální portfolio approximujeme portfoliem, které leží na efektivní hranici (termín z oblasti moderní teorie portfolia). První a druhé podmíněné momenty specifikujeme pomocí dynamického ekonometrického modelu. V druhé části prodiskutujeme nedostatky naší strategie a pomocí Monte Carlo simulací ji modifikujeme. V závěrečné části demonstrujeme životaschopnost strategie na historických datech. Za předpokladu neomezené páky a rozumných transakčních nákladu jsme byli schopni dosáhnout průměrného ročního zhodnocení kolem 24%. Detailed record

See also: similar author names
4	Janča, Martin
1	Janča, Michal

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