Trading strategies and Financial Performances: A simulation approach

Alessio Emanuele Biondo, Laura Mazzarino and Alessandro Pluchino

International Review of Financial Analysis, 2024, vol. 95, issue PB

Abstract: This paper presents a comparative analysis of three major approaches to portfolio strategies: the maximization of the Sharpe ratio, the minimization of the Expected Shortfall and “zero–intelligence” trading. Data from financial time series and from a simulated order-book are used to analyse how various strategies affect investors’ portfolio performance and volatility. Results show, firstly, that the superiority of technical and analytical approaches over a random strategy is not obvious. Secondly, that strategies with lower and less risky profits may reveal preferable to those with higher returns and risk. Balancing this trade-off is crucial for stable financial growth.

Keywords: Sharpe ratio; Expected Shortfall; Portfolio performance; Order-book; Simulations (search for similar items in EconPapers)
JEL-codes: C63 G11 G12 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003582

DOI: 10.1016/j.irfa.2024.103426

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