597. Path Dependent Arbitrage Portfolio Strategies
Invited abstract in session WB-7: Portfolio Management, stream Risk Management in Commodities and Financial Markets .
Wednesday, 10:30-12:00Room: Clarendon GR.01
Authors (first author is the speaker)
| 1. | Denise Mirabella
|
| Economics and Finance, Università degli studi di Bergamo | |
| 2. | Sergio Ortobelli Lozza
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| University of Bergamo | |
| 3. | Valentina Piantoni
|
| Economics and Finance, Università degli studi di Bergamo |
Abstract
This paper investigates portfolio strategies aimed at maximizing the expected first passage time of wealth to predefined benchmark levels, assuming returns follow Markov processes modeled through Markov Chains. By examining the momentum characteristics of these strategies, we identify potential arbitrage opportunities. We apply timing-based strategies to the components of the S&P500 index and evaluate their performance. Specifically, we compare the ex-post wealth outcomes of traditional approaches against novel strategies optimized to improve the average first passage time to target benchmarks.
Keywords
- Decision Analysis
- Financial Modelling
- Stochastic Optimization
Status: accepted
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