Abstract
This article proposes a new way of using publically available information in order to outperform the market. We suggest that, under the assumption that “target-to-real ratio” is stationary, it could be implemented in several trading and/or portfolio optimization techniques. We use target price to develop TRP ratio and implement this information into the optimization models. We use deviation from the mean reverted TRP ratio to indicate future potential of the stock. Our portfolio outperformed the best-performing benchmark by more than 25% and returned 47% ROI in the challenging market conditions.
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References
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Munda, G., Strasek, S. (2013). TRP Ratio and the Black–Litterman Portfolio Optimisation Method. In: Ao, SI., Gelman, L. (eds) Electrical Engineering and Intelligent Systems. Lecture Notes in Electrical Engineering, vol 130. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-2317-1_21
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DOI: https://doi.org/10.1007/978-1-4614-2317-1_21
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