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dc.contributor.authorAndriyashin, Antonen_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorTimofeev, Romanen_US
dc.date.accessioned2008-02-21en_US
dc.date.accessioned2009-07-23T15:03:33Z-
dc.date.available2009-07-23T15:03:33Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25251-
dc.description.abstractA great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA DAX stocks. Using a set of fundamental and technical variables, stocks are classified into three groups according to the proposed position: long, short or neutral. More precisely, by assessing the current state of a company, which is represented by fundamental variables and current market situation, well reflected by technical variables, it is possible to suggest if the current market value of a company is underestimated, overestimated or the stock is fairly priced. The performance of the model over the observed period suggests that XETRA DAX stock returns can adequately be predicted by publicly available economic data. Another conclusion of this study is that the implied volatility variable, when included into the training sample, boosts the predictive power of the model significantly.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,009en_US
dc.subject.jelC14en_US
dc.subject.jelC49en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordCARTen_US
dc.subject.keyworddecision trees in financeen_US
dc.subject.keywordnonlinear decision rulesen_US
dc.subject.keywordasset management portfolio optimisationen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwTheorieen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwDeutschlanden_US
dc.titleRecursive portfolio selection with decision treesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn558750052en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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