2016/04/30 by Ayed, Ahmed Bel Hadj, Loeper, Grégoire, Abergel, Frédéric
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Trading and Market Microstructure (q-fin.TR)
paper · doi:10.48550/arxiv.1605.00173
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we provide the asymptotic expectation of the logarithmic return as a function of the model parameters. Finally, numerical examples find that an investment strategy using the cross moving averages rule is more robust than the optimal strategy under parameters mis-specification.