Opening book details…
Can I read Testing of a Volatility-Based Trading Strategy Using Behavioral Modified Asset Allocation on EtoBox?
Testing of a Volatility-Based Trading Strategy Using Behavioral Modified Asset Allocation by Jonas Freibauer; Silja Grawert is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Testing of a Volatility-Based Trading Strategy Using Behavioral Modified Asset Allocation about?
The performance of volatility-based trading strategies depends, among other factors, on the asset selection and the associated risk preference. For this study, we conducted a representative survey for Germany to determine the asset preferences of individuals with lower-risk and higher-risk preference. These two types of behavioral modified asset allocations (lower-risk and higher-risk) form the basis for testing our volatility-based trading strategy with different risk and loss levels. The tests are based on historical asset price data over a period of nearly the last eleven years. The goal was to historically outperform the broad market by changing various factors, such as the initial asset allocation, the asset reallocation, and the risk and loss level underlying the trading strategy. We achieve this by using the riskier initial asset allocation and applying our trading strategy with a risk and loss level of 10% each. In this case, a historical return of 326% could have been achieved with our trading strategy over the period under review.
Who reads Testing of a Volatility-Based Trading Strategy Using Behavioral Modified Asset Allocation?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Jonas Freibauer; Silja Grawert
- Publisher
- MDPI AG
- Published
- 2022
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)