Investment Strategies - Implementation and Performance

Investment Strategies

Abstract

Content

List of Figures

List of Tables

Abbreviations

1 Introduction

1.1 Motivation and Aim of the Book

1.2 Structure of the Book

2 Modern Portfolio Theory

2.1 Literature Review

2.2 Optimal Portfolio

2.3 Efficient Market Hypothesis

3 Applied Methodology

3.1 Data

3.2 Risk, Return and Correlation

3.3 Time Frame

3.3.1 Ex Post

3.3.2 Ex Ante

3.4 Portfolio Strategies

3.4.1 Crossover Simple Moving Average

3.4.2 Equally Weighted Portfolio

3.4.3 Minimum Variance Portfolio

3.4.4 Certainty Equivalence Tangency Portfolio

3.4.5 James Stein Estimator

3.4.6 Black Litterman Model

4 Empirical Results

4.1 Risk, Return and Correlation

4.2 Strategies in an Ex Post Framework

4.3 Strategies in an Ex Ante Framework

4.3.1 Crossover Simple Moving Average

4.3.2 EQW, MVP and CET

4.3.3 James Stein Estimator

4.3.4 Black Litterman Model

4.4 Constraints of the observed Magnitudes

4.4.1 Transaction Costs

4.4.2 Liquidity

4.4.3 Market Situation during the Sample Period

5 Conclusion and Further Research

Appendix

References

The Author