2023/02/03 by Jarosław Gruszka, Gruszka, Jarosław, Janusz Szwabiński +1
Engineering · #91G10 #91G60 #91G70 #FOS: Economics and business #J.1 #Portfolio Management (q-fin.PM) #Reservoir Engineering and Simulation Methods
paper · pdf · doi:10.48550/arxiv.2302.01816
openalex publication_date 2023/02/03 · openalex created_date 2023/02/08 · openalex updated_date 2026/07/28
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate, which we measure via the parameters of the Heston model calibrated to the real stock market data. Depending on the values of those parameters, the passive strategy may namely outperform the active ones or vice versa. The method is tested on three stock market indices: S&P500, DAX and WIG20.