ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL
Аннотация
Статья анализирует эффективность правил, на которых основаны стратегии профессионалов в сфере инвестиций. Мы провели бэктест 30 стратегий за 20 лет, используя месячные данные американского фондового рынка и DEA-модель, оценили их сравнительные характеристики. Хотя стратегии и варьируются исторически, 11 стратегий превзошли эталонный индекс в долгосрочном периоде. Наиболее эффективными стратегиями, согласно DEA, являются стратегии Грэхема, Льяна, Цвейга и Сигеля.
Об авторах
D. Nasretdinova
Financial University
Россия
Россия
D. Milovidova
Financial University
Россия
Россия
K. Michailova
Financial University
Россия
Россия
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Рецензия
Для цитирования:
, , . Review of Business and Economics Studies. 2015;3(2):21-32.
For citation:
Nasretdinova D., Milovidova D., Michailova K. ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL. Review of Business and Economics Studies. 2015;3(2):21-32. (In Russ.)
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