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A nonparametric examination of market information: application to technical trading rules

✍ Scribed by David Goldbaum

Book ID
117628316
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
147 KB
Volume
6
Category
Article
ISSN
0927-5398

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✍ Hans Dewachter; Marco Lyrio πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 923 KB

We adapt Brandt's (1999) nonparametric approach to determine the optimal portfolio choice of a risk averse foreign exchange investor who uses moving average trading signals as the information instrument for investment opportunities. Additionally, we assess the economic value of the estimated optimal