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    NázovActive diversification tools in the portfolio of investment strategies
    Aut.údajePeter Kubaška
    Autor Kubaška Peter 1992- (100%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
    Zdroj.dok. Hradec economic days : proceedings of the international scientific conference Hradec economic days 2020, 02.-03.04.2020, Hradec Králové, Vol. 10, no. 1. S. 390-398. - Hradec Králové : Univerzita Hradec Králové, 2020 ; Hradec Economic Days 2020 Innovations and upcoming challenges of developed and developing economies
    Kľúč.slová aktívna diverzifikácia - active diversification   economic strategy   moving average   ideal equity curve  
    Form.deskr.príspevky v zborníku - proceedings papers
    Jazyk dok.angličtina
    KrajinaČeská republika
    AnotáciaInvestment strategy can by defined as set of rules that identifies BUY or SELL trading signals. There are a lot of investment strategies based on different analysis of capital markets. Investment strategies can be seen for example in mutual fund, hedge funds but also in PAMM systems. Investor invests through these strategies in order to maximize the value of his trading account. Dynamic development of capital markets can cause that single investment strategy can stop working. Main question is how can be investor protected from this situation? Basic way to avoid the situation of one loss strategy is the diversification. In this paper the author tests two tools of active diversification Moving average and Ideal equity curve. Both of these tools are tested on two different data samples. On the one hand simulated data sample shows that Ideal equity curve is able to protect investment capital. On the other hand, active diversification tools did not prove predict power on real data sample. This situation was caused due to the fact, that real data sample is created only by two loss strategies. Goal of this paper is to test active diversification tools in environment of simulated and real data.
    URL Link na konferenciu
    Kategória publikačnej činnosti AFC
    Číslo archívnej kópie48140
    Katal.org.BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici
    Báza dátxpca - PUBLIKAČNÁ ČINNOSŤ
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