USING ELLIOTT WAVE THEORY PREDICTIONS AS INPUTS IN EQUILIBRIUM PORTFOLIO MODELS WITH VIEWS
Abstract
We evaluate historical performance of one of the most famous Elliott Wave Theory proponents - Robert Prechter using Black-Litterman as framework for portfolio optimization with views. Our choice of the portfolio model for historical backtest contradicts to traditional "straightforward" approach to test historical predictions performance. We argue that this approach is more realistic as it allows to model Bayesian-rational decision-making of risk-averse agent with views, fueled by Elliott theory. Our results show that use of mentioned framework Elliott Wave Theory offers brings value to investor.
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Review
For citations:
Batyrbekova N. USING ELLIOTT WAVE THEORY PREDICTIONS AS INPUTS IN EQUILIBRIUM PORTFOLIO MODELS WITH VIEWS. Review of Business and Economics Studies. 2015;3(2):33-45. (In Russ.)
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