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Investment strategies beating the market. What can we squeeze from the market?

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Author Info

  • Robert Ślepaczuk

    ()
    (University of Warsaw, Faculty of Economic Sciences)

  • Grzegorz Zakrzewski

    (Deutsche Bank PBS SA)

  • Paweł Sakowski

    (University of Warsaw, Faculty of Economic Sciences)

Abstract

The paper presents the new approach to optimizing automatic transactional systems. We propose the multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of risk control system based on volatility measures and consecutive signals confirmation. As the result, we formulate three complex investment systems, which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown

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File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP70.pdf
File Function: First version, 2012
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Bibliographic Info

Paper provided by Faculty of Economic Sciences, University of Warsaw in its series Working Papers with number 2012-04.

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Length: 28 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:war:wpaper:2012-04

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Related research

Keywords: investment strategies; automatic trading systems; optimization; technical and fundamental analysis; market volatility; efficient risk and return measures; EMH; mutual and hedge funds;

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References

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Cited by:
  1. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.

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