"Reverse engineering" of managed fund market timing strategies
Created by W.Langdon from
gp-bibliography.bib Revision:1.7954
- @InProceedings{Falbo:2002:IFORS,
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author = "Paolo Falbo and Nicola Doninelli",
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title = "{"}Reverse engineering{"} of managed fund market
timing strategies",
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booktitle = "The Sixteenth Triennial Conference of the
International Federation of Operational Research
Societies",
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year = "2002",
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address = "University of Edinburgh",
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month = "8-12 " # jul,
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organisation = "UK Operational Research Society",
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note = "Conference theme: OR in a globalised, networked world
economy, Invited session",
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keywords = "genetic algorithms, genetic programming",
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broken = "http://meetings.informs.org/IFORS2002/working_files/program.pdf",
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abstract = "In market timing studies the sensitivity of fund
returns to the payoff of perfect market timing
strategies is usually provided. Nothing is said about
the nature of the trading strategies implemented by
fund managers. In this work we present a novel method
to identify timing activity more than timing ability
based on genetic programming and the Henriksson-Merton
model. While timing ability is necessarily associated
to superior forecasting, timing activity is not.
Therefore, we're not testing the EMH from the supply
side but attempt to address a slightly different
question: do mutual funds use timing strategies? This
is an intriguing problem given that we focus on
investment style more than on the average profits of
market timing.",
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notes = "program.pdf has above abstract eurizoncapital.com???
University of Brescia, Italy",
- }
Genetic Programming entries for
Paolo Falbo
Nicola Doninelli
Citations