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Advanced strategies of portfolio management in the Heston market model

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  • Gruszka, Jarosław
  • Szwabiński, Janusz

Abstract

There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to successful investment. In this paper, we aim at an analysis of two aspects that may have an impact on investment performance: diversity of assets and inclusion of cash in the portfolio. We also propose two new management strategies based on the MACD and RSI factors known from technical analysis. Monte Carlo simulations within the Heston model of a market are used to perform numerical experiments.

Suggested Citation

  • Gruszka, Jarosław & Szwabiński, Janusz, 2021. "Advanced strategies of portfolio management in the Heston market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    • Handle: RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002508
    DOI: 10.1016/j.physa.2021.125978
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