标题： 数学模型和技术分析策略的鲁棒性 显示英文标题

标题： Robustness of mathematical models and technical analysis strategies

摘要： 本文的目的是比较参数误设下的最优策略性能和一种技术分析交易策略的性能。 我们考虑的环境是一个随机资产价格模型，其中趋势遵循一个不可观测的奥恩斯坦-乌伦贝克过程。 对于这两种策略，我们提供了对数收益的渐近期望值，作为模型参数的函数。 最后，数值示例发现，使用交叉移动平均规则的投资策略比参数误设下的最优策略更具鲁棒性。 显示英文摘要

摘要： The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we provide the asymptotic expectation of the logarithmic return as a function of the model parameters. Finally, numerical examples find that an investment strategy using the cross moving averages rule is more robust than the optimal strategy under parameters mis-specification.