Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions

Vera Ivanyuk ()
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Vera Ivanyuk: Department of Data Analysis and Machine Learning, Financial University under the Government of the Russian Federation, 125167 Moscow, Russian

Economies, 2022, vol. 10, issue 12, 1-19

Abstract: This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an algorithm for creating an adaptive investment portfolio. The conceptual model of the investment strategy is presented including the following mandatory components: evaluation, forecasting, investment, and adaptation. This model has the ability to adapt both in normal and in crisis periods of the market. As a description of the forecasting component, an additive mathematical model of the predictive ensemble is used, including seasonal, regression, and shock elements as well as a neural network.

Keywords: methodology; investment strategy; risk measure; time series forecasting (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:10:y:2022:i:12:p:325-:d:1006134

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