Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation

Vera Ivanyuk
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Vera Ivanyuk: Department of Data Analysis and Machine Learning, Financial University under the Government of the Russian Federation, 125993 Moscow, Russia

Economies, 2021, vol. 9, issue 3, 1-19

Abstract: The study aims to develop a dynamic model for the management of a strategic investment portfolio, taking into account the impact of crisis processes on asset value. A mathematical model of a dynamic portfolio strategy is developed, and guidelines for framing a long-term investment strategy based on the current state of the investment market are formalized. An efficient method of long-term ensemble forecasting to increase the accuracy of predicting financial time series is elaborated. A methodology for constructing and rebalancing a dynamic strategic investment portfolio based on a changing portfolio strategy that results from assessing the current market state and forecast is developed. The obtained strategic portfolio model has been estimated empirically based on historical data and its rate-of-return characteristics have been compared with those of the existing conventional models used in strategic investment.

Keywords: investment strategy; innovation; portfolio model (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:9:y:2021:i:3:p:95-:d:580663

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