Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data
Portfolio Management
2023-02-06 v1
Abstract
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate, which we measure via the parameters of the Heston model calibrated to the real stock market data. Depending on the values of those parameters, the passive strategy may namely outperform the active ones or vice versa. The method is tested on three stock market indices: S\&P500, DAX and WIG20.
Keywords
Cite
@article{arxiv.2302.01816,
title = {Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data},
author = {Jarosław Gruszka and Janusz Szwabiński},
journal= {arXiv preprint arXiv:2302.01816},
year = {2023}
}
Comments
24 pages, 4 figures