Technical Analysis and Theory of Finance

摘要：

Technical analysis, that derives trading strategies based on past prices, is popular in investment practice, but its empirical evidence is mixed due to a potential problem in data-snooping. In this paper, we ask whether there exist any theoretical rationales for an investor to use it in asset allocation. We ˉnd that it can always add value to a ˉxed allocation rule that invests a ˉxed portion of wealth into the stock market (as dictated by the random walk theory of stock prices or by the popular mean-variance approach) when the stock returns are predictable. When model parameters are unknown and have to be estimated from data as is the case in practice, we ˉnd that the combination of the ˉxed rule with technical analysis outperforms the optimal learning rule, which are prior dependent, when the priors are reasonable and yet not too informative.

作者: Yingzi Zhu Guofu Zhou

作者单位: School of Economics and Management,Tsinghua University,Beijing,China School of Business,Washington University,St.Louis

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）