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dc.contributor.authorAndriyashin, Antonen
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorTimofeev, Romanen
dc.date.accessioned2008-02-21-
dc.date.accessioned2009-07-23T15:03:33Z-
dc.date.available2009-07-23T15:03:33Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,009en
dc.subject.jelC14en
dc.subject.jelC49en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordCARTen
dc.subject.keyworddecision trees in financeen
dc.subject.keywordnonlinear decision rulesen
dc.subject.keywordasset management portfolio optimisationen
dc.subject.stwAnlageverhaltenen
dc.subject.stwInformationsverhaltenen
dc.subject.stwPortfolio-Managementen
dc.subject.stwBayes-Statistiken
dc.subject.stwTheorieen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwDeutschlanden
dc.titleRecursive portfolio selection with decision trees-
dc.type|aWorking Paperen
dc.identifier.ppn558750052en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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