CONTROLLING INVESTMENT PROPORTION IN CYCLIC CHANGING ENVIRONMENTS

J.-Emeterio Navarro-Barrientos

2008

Abstract

In this paper, we present an investment strategy to control investment proportions for environments with cyclic changing returns on investment. For this, we consider an investment model where the agent decides at every time step the proportion of wealth to invest in a risky asset, keeping the rest of the budget in a risk-free asset. Every investment is evaluated in the market modeled by stylized returns on investment (RoI). For comparison reasons, we present two reference strategies which represent agents with zero-knowledge and complete-knowledge of the dynamics of the RoI, and we consider an investment strategy based on technical analysis. To account for the performance of the strategies, we perform some computer experiments to calculate the average budget that can be obtained over a certain number of time steps. To assure for fair comparisons, we first tune the parameters of each strategy. Afterwards, we compare their performance for RoIs with fixed periodicity (stationary scenario) and for RoIs with changing periodicities (non-stationary scenario).

Paper Citation

in Harvard Style

Navarro-Barrientos J. (2008). CONTROLLING INVESTMENT PROPORTION IN CYCLIC CHANGING ENVIRONMENTS . In Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-8111-30-2, pages 207-213. DOI: 10.5220/0001496802070213

in Bibtex Style

@conference{icinco08,
author={J.-Emeterio Navarro-Barrientos},
title={CONTROLLING INVESTMENT PROPORTION IN CYCLIC CHANGING ENVIRONMENTS},
booktitle={Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2008},
pages={207-213},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001496802070213},
isbn={978-989-8111-30-2},
}

in EndNote Style

TY - CONF
JO - Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - CONTROLLING INVESTMENT PROPORTION IN CYCLIC CHANGING ENVIRONMENTS
SN - 978-989-8111-30-2
AU - Navarro-Barrientos J.
PY - 2008
SP - 207
EP - 213
DO - 10.5220/0001496802070213