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Fine-Tuning Investment Strategy: Performance Measurement, Hyperparameter Optimization and Dynamic Asset Allocation

ФИО студента: Arutyunov German

Руководитель: Gleb Garashchuk

Кампус/факультет: Faculty of Economic Sciences

Программа: Economics (Bachelor)

Год защиты: 2021

Profitability is influenced by factors such as asset allocation strategy, market timing, and securities selection. The profitability of the portfolio depends on how well the investor approaches the analysis of those factors. In addition, each of the factors is significantly influenced by the conditions in the financial market. Economists and financiers have been studying this impact for years, trying to find ways to capitalize on market inefficiencies. In recent years, theories that study regime-switching on financial markets have been developed. Enough research has been written on the use of parametric methods to determine the tilts in distribution of financial time series. Researchers have also built dynamic strategies based on those changes. However, there are no studies of this phenomenon using nonparametric methods. In addition, this work will be one of the first to apply the results of the regime-switching model to build a strategy in the emerging market of Russia. The study shows that regime changes in the financial market significantly affect the effectiveness of asset allocation strategies. Adjusting strategies can give the investor a chance to improve the portfolio's risk exposure. The results of this work are useful for both private investors and investment companies, and also provide a basis for further research on the use of nonparametric methods for determining regime-switching on financial markets.

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