"Reverse engineering" of managed fund market timing strategies

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{Falbo:2002:IFORS,
  author =       "Paolo Falbo and Nicola Doninelli",
  title =        "{"}Reverse engineering{"} of managed fund market
                 timing strategies",
  booktitle =    "The Sixteenth Triennial Conference of the
                 International Federation of Operational Research
                 Societies",
  year =         "2002",
  address =      "University of Edinburgh",
  month =        "8-12 " # jul,
  organisation = "UK Operational Research Society",
  note =         "Conference theme: OR in a globalised, networked world
                 economy, Invited session",
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://meetings.informs.org/IFORS2002/working_files/program.pdf",
  abstract =     "In market timing studies the sensitivity of fund
                 returns to the payoff of perfect market timing
                 strategies is usually provided. Nothing is said about
                 the nature of the trading strategies implemented by
                 fund managers. In this work we present a novel method
                 to identify timing activity more than timing ability
                 based on genetic programming and the Henriksson-Merton
                 model. While timing ability is necessarily associated
                 to superior forecasting, timing activity is not.
                 Therefore, we're not testing the EMH from the supply
                 side but attempt to address a slightly different
                 question: do mutual funds use timing strategies? This
                 is an intriguing problem given that we focus on
                 investment style more than on the average profits of
                 market timing.",
  notes =        "program.pdf has above abstract eurizoncapital.com???
                 University of Brescia, Italy",
}

Genetic Programming entries for Paolo Falbo Nicola Doninelli

Citations