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Using Elliott wave Theory predictions as inputs in equilibrium portfolio models with views

Author

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  • BATYRBEKOVA NURLANA

    (ATON Investment Company)

Abstract

Мы оцениваем гипотетическую историческую доходность Роберта Пречтера, одного из самых известных сторонников волновой теории Эллиотта. Для этого мы используем модель оптимизации портфеля по Блэку-Литтерману. Наш подход противостоит традиционному подходу проверки исторической доходности предсказаний. Мы считаем, что такой подход является более реалистичным, так как позволяет моделировать рациональный метод принятия решений по Байесу для агента с суждениями, основанными на теории Эллиотта. Полученные с помощью такого подхода результаты показывают, что волновая теория Эллиотта имеет ценность для инвестора.We evaluate historical performance of one of the most famous Elliott Wave Theory proponents Robert Prechter using Black-Litterman as framework for portfolio optimization with views. Our choice of the portfolio model for historical backtest contradicts to traditional "straightforward" approach to test historical predictions performance. We argue that this approach is more realistic as it allows to model Bayesian-rational decision-making of risk-averse agent with views, fueled by Elliott theory. Our results show that use of mentioned framework Elliott Wave Theory offers brings value to investor.

Suggested Citation

  • Batyrbekova Nurlana, 2015. "Using Elliott wave Theory predictions as inputs in equilibrium portfolio models with views," Review of Business and Economics Studies, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 2, pages 33-45.
    • Handle: RePEc:scn:031730:16485144
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    Cited by:

    1. Eugenio D’Angelo & Giulio Grimaldi, 2017. "The Effectiveness of the Elliott Waves Theory to Forecast Financial Markets: Evidence from the Currency Market," International Business Research, Canadian Center of Science and Education, vol. 10(6), pages 1-18, June.

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