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The Returns and Risk of Dynamic Investment Strategies: A Simulation Comparison

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  • Richard Lu

    (Department of Risk Management and Insurance, Feng Chia University, Taiwan)

Abstract

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Suggested Citation

  • Richard Lu, 2016. "The Returns and Risk of Dynamic Investment Strategies: A Simulation Comparison," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 15(1), pages 79-83, June.
    • Handle: RePEc:ijb:journl:v:15:y:2016:i:1:p:79-83
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    File URL: https://ijbe.fcu.edu.tw/assets/ijbe/past_issue/No.15-1/abstract/05.html
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    References listed on IDEAS

    as
    1. Ilia D. Dichev, 2007. "What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns," American Economic Review, American Economic Association, vol. 97(1), pages 386-401, March.
    2. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Amarjit Gill & Harvinder S. Mand & Afshin Amiraslany & John D. Obradovich, 2019. "The Impact of Internal Financing Sources and Bank Financing on Information Technology Investment," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(1), pages 1-16, June.

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    More about this item

    Keywords

    buy-and-hold strategy; constant-mix; constant-proportion portfolio insurance; contrarian strategy; momentum strategy;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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