Robustesse de la stratégie de trading optimale

Robustesse de la stratégie de trading optimale

L’objectif principal de cette thèse est d’apporter de nouveaux résultats théoriques concernant la performance d’investissements basés sur des modèles stochastiques. Pour ce faire, nous considérons la stratégie optimale d’investissement dans le cadre d’un modèle d’actif risqué à volatilité constante...

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Bibliographic Details
Main Author:	Bel Hadj Ayed, Ahmed
Other Authors:	Université Paris-Saclay (ComUE)
Language:	fr en
Published:	2016
Subjects:	Trading Robustesse Estimation de tendance Calcul stochastique Merton Analyse technique Finance quantitative Ratio de Sharpe Robustness Inference of hidden Markov models Stochastic calculus Technical analysis Quantitative finance Sharpe ratio
Online Access:	http://www.theses.fr/2016SACLC033/document

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