Tid: 28 februari 2005 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Mattias Lundahl.
Titel: Evaluation of Automated Portfolio Rebalancing Algorithms. (Examensarbete)
Sammanfattning: This thesis aims at implementing and evaluating four distinct algorithms (Universal Portfolio, Exponentiated Gradient, Anticor, and Constant Proportion Portfolio Insurance) for automated rebalancing of fixed-asset portfolios based on the past performance of the individual assets included in the portfolio. The algorithms are implemented according to the articles presenting them, and I devise improvements to the algorithms. The improvements are achieved using different kinds of side information to modify the weights suggested by the algorithms.
I have shown that these algorithms are all able to yield higher returns than more na1šve investment strategies such as allocating equal amounts to all assets included in the portfolio. While all algorithms but CPPI can handle portfolios of any number of assets, I have shown that in reality portfolios of two assets are preferable to maximize return. Finally, especially EG and Anticor are able to provide quite impressive returns under certain conditions, even after subtracting trading costs.
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