Heterogeneous gain forecasting using historic asset information

Heterogeneous gain forecasting using historic asset information

Bibliographic Details
Main Author: Sippl-Swezey, Nicolas
Language:English
Published: Oberlin College Honors Theses / OhioLINK 2011
Subjects:
Economic History
Economics
Economic Theory
asset
allocation
market
crisis
finance
Online Access:http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083
id ndltd-OhioLink-oai-etd.ohiolink.edu-oberlin1354304083
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spelling ndltd-OhioLink-oai-etd.ohiolink.edu-oberlin13543040832021-08-03T05:42:32Z Heterogeneous gain forecasting using historic asset information Sippl-Swezey, Nicolas Economic History Economics Economic Theory asset allocation market crisis finance Using historic return inputs in a stylized computational financial market, this paper explores how participant outcomes are affected by the degree to which their asset allocation behavior respondsto new market information. Findings support the efficient market hypothesis in that no alternate trading rule shows consistent improved outcomes relative to a full market exposure buy-and-holdstrategy over the given time period. The only exception occurs briefly at the bottom of the 2008 financial crisis. Market participants that drastically alter market exposure in response to volatilereturns, however, do outperform those who alter their exposure less drastically. Furthermore, the trading rules used here appear to offer a tradeoff between risk, return volatility and wealthdevelopment that is in-part at odds with efficient market hypothesis. 2011 English text Oberlin College Honors Theses / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083 http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws.
collection NDLTD
language English
sources NDLTD
topic Economic History
Economics
Economic Theory
asset
allocation
market
crisis
finance
spellingShingle Economic History
Economics
Economic Theory
asset
allocation
market
crisis
finance
Sippl-Swezey, Nicolas
Heterogeneous gain forecasting using historic asset information
author Sippl-Swezey, Nicolas
author_facet Sippl-Swezey, Nicolas
author_sort Sippl-Swezey, Nicolas
title Heterogeneous gain forecasting using historic asset information
title_short Heterogeneous gain forecasting using historic asset information
title_full Heterogeneous gain forecasting using historic asset information
title_fullStr Heterogeneous gain forecasting using historic asset information
title_full_unstemmed Heterogeneous gain forecasting using historic asset information
title_sort heterogeneous gain forecasting using historic asset information
publisher Oberlin College Honors Theses / OhioLINK
publishDate 2011
url http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083
work_keys_str_mv AT sipplswezeynicolas heterogeneousgainforecastingusinghistoricassetinformation
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