Economics Commons^™

A Collection Of Portfolio Management Issues, Mike Mccausland

Electronic Thesis and Dissertation Repository

This thesis consists of three chapters of interest to a portfolio manager. The first paper examines how the profitability of trading rules depends on volatility. In particular, a question of interest is whether one rule dominates all others regardless of the level of volatility, or whether it is more profitable to vary the choice of trading rule corresponding to volatility. Certain rules, such as the KST indicator using overbought/oversold levels, appear to excel under highly volatile conditions, while exponential moving average rules perform better with low volatility. In the second paper, a Value-at-Risk (VaR) model capable of producing accurate and …