Essays about: "anticor"

Found 1 essay containing the word anticor.

  1. 1. Algorithmic Portfolio Rebalancing: A Test of the Efficient Market Hypothesis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mattias Lundahl; [2005]
    Keywords : algorithm; algorithmic; automated; efficient market hypothesis; technical analysis;

    Abstract : This thesis aims at testing the Efficient Market Hypothesis (EMH) by implementing and evaluating four distinct algorithms (Universal Portfolio, Exponentiated Gradient, Anticor and Constant Proportion Portfolio Insurance) for automated rebalancing of fixed-asset portfolios based on the past performance of the individual assets included in the portfolio. If the EMH holds, technical analysis such as algorithm based investments should not be able to generate abnormal returns without introducing abnormal risk. READ MORE