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Investment Strategies That Beat The Market. What Can We Squeeze From The Market?

Author

Listed:
  • ROBERT ŚLEPACZUK

    (Faculty of Economic Sciences, Warsaw University and Union Investment)

  • PAWEŁ SAKOWSKI

    (Warsaw University)

  • GRZEGORZ ZAKRZEWSKI

    (Department Director of Credit Risk Management for Micro-entrepreneurs, Nest Bank)

Abstract

The paper presents a new approach to optimizing automatic transactional systems. We propose a 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 a risk controlsystem based on volatility measures and consecutive signal confirmation. As a 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

Suggested Citation

Handle: RePEc:wsz:fiq000:v:14:y:2018:i:4:id:647
DOI: 10.2478/fiqf-2018-0026
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