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

Listed author(s):
  • Robert Ślepaczuk

    ()

    (University of Warsaw, Faculty of Economic Sciences)

  • Grzegorz Zakrzewski

    (Deutsche Bank PBS SA)

  • Paweł Sakowski

    (University of Warsaw, Faculty of Economic Sciences)

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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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
Handle: RePEc:war:wpaper:2012-04
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