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Timing portfolio strategies with exponential Lévy processes
- Publication Year :
- 2019
-
Abstract
- This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric Levy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions.
- Subjects :
- Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
021103 operations research
Lévy processes, Applied probability, Portfolio strategies, Stopping times
0211 other engineering and technologies
Applied probability
Stochastic matrix
02 engineering and technology
Maximization
Lévy process
Management Information Systems
Stopping times
Portfolio strategies
Lévy processes
Econometrics
Portfolio
Stock market
Information Systems
021108 energy
First-hitting-time model
Mathematics
Parametric statistics
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....9e75e2d78e4059ea4c7d784c1299e93c