Automatisches Investment – Anlageempfehlung vom Robo Advisor

Entscheidungen werden heute kaum noch ohne Online-Unterstützung getroffen. Warum also nicht auch die Wahl der Vermögensanlage dem Internet überlassen? Robo Advisors versprechen effiziente, rationale und transparente Anlageempfehlungen und entwickeln sich zur digitalen Beratungsalternative. Zu ihren Empfehlungen gelangen sie auf höchst unterschiedliche Weise.

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Managing Position Size Depending On Asset Price Characteristics

Abstract

The application of a technical trading rule requires investors to determine a position size of the trades selected. In order to find an optimal position size, the Kelly criterion is widely suggested, which bets relative fractions from the remaining trading budget. Therefore, the general impact of position sizing on timing strategies and the relation to the Kelly criterion have been analyzed. The introduction of relative position sizing has a major impact on trading results. In contrast to a standard Kelly framework, however, an optimal position size does not exist.

Citation

Peter Scholz (2014): Managing Position Size Depending On Asset Price Characteristics. Journal of Applied Operational Research 6(4), 189-206.

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Performance Analysis of Investment Strategies – Pitfalls and Surprises

Abstract

Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance is measured. Firstly, we will discuss the role of backtests and show that this instrument — even when used carefully and skilled — may lead to biased and misleading results. Secondly, we give an example that the concepts of performance and forecast power must be strictly distinguished. Finally, we demonstrate that implementation details, while largely neglected, may strongly impact and bias a strategy’s performance.

Citation

Peter Scholz & Ursula Walther (2013): Performance Analysis of Investment Strategies — Pitfalls and Surprises. Lecture Notes in Management Science Vol. 5, 176-180.

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