Combining technical indexes to improve portfolio performance
碩士 === 元智大學 === 資訊管理學系 === 101 === The mean-variance model proposed by Harry Markowitz is widely used for portfolio optimization. It helps the investors to allocate their capital to a number of assets, however, it does not guide the investors when to buy these assets. In contrast, technical indexes...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/65625007868495479366 |
| Summary: | 碩士 === 元智大學 === 資訊管理學系 === 101 === The mean-variance model proposed by Harry Markowitz is widely used for portfolio optimization. It helps the investors to allocate their capital to a number of assets, however, it does not guide the investors when to buy these assets. In contrast, technical indexes are widely used to help the investors to decide when to buy/sell the assets. In this thesis, we integrate the mean-variance model and technical indexes to propose three investment strategies. Performance study is conducted to compare the performance of these methods against the traditional approaches.
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