Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions

Author:

Ivanyuk VeraORCID

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.

Publisher

MDPI AG

Subject

Economics, Econometrics and Finance (miscellaneous),Development

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Overview of Modern Forecasting Methods and Models;2023 16th International Conference Management of large-scale system development (MLSD);2023-09-26

2. Development of Modern Forecasting Models;2023 16th International Conference Management of large-scale system development (MLSD);2023-09-26

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