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dc.contributor.authorMacijauskas, Lukas
dc.date.accessioned2024-05-29T12:16:08Z
dc.date.available2024-05-29T12:16:08Z
dc.date.issued2012
dc.identifier.isbn9786094571169en_US
dc.identifier.issn2029-4441en_US
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/154313
dc.description.abstractAs during turbulent market conditions correlations between main asset classes falter, investors are forced to experience times of high uncertainty which in most cases may lead to irrational decisions. This problem stimulates search for non-discretionary risk management methods. The aim of the paper is to test if concept of SMA can be used in such role. The investigation is based on studying historical prices of various asset classes; statistical data analysis method is used. Results of this study reveal that SMA method when used as a trend indicator for main stock and REIT indices can significantly reduce standard deviation and maximum drawdown measures.en_US
dc.format.extent8 p.en_US
dc.format.mediumTekstas / Texten_US
dc.language.isoenen_US
dc.relation.urihttps://etalpykla.vilniustech.lt/handle/123456789/154267en_US
dc.source.urihttp://old.konferencijos.vgtu.lt/bm.vgtu.lt/public_html/index.php/bm/bm_2012/paper/view/61en_US
dc.subjectrisk managementen_US
dc.subjectasset classesen_US
dc.subjecttactical asset allocationen_US
dc.subjectmoving averagesen_US
dc.subjectstrategyen_US
dc.subjectmethodsen_US
dc.titleSimple moving average as a risk management method in main asset classesen_US
dc.typeKonferencijos publikacija / Conference paperen_US
dcterms.accessRightsLaisvai prieinamas / Openly availableen_US
dcterms.accrualMethodRankinis pateikimas / Manual submissionen_US
dcterms.alternativeFinance engineeringen_US
dcterms.issued2012-05-11
dcterms.references31en_US
dc.description.versionTaip / Yesen_US
dc.contributor.institutionVilniaus Gedimino technikos universitetasen_US
dc.contributor.institutionVilnius Gediminas Technical Universityen_US
dc.contributor.facultyVerslo vadybos fakultetas / Faculty of Business Managementen_US
dcterms.sourcetitle7th International Scientific Conference “Business and Management 2012”en_US
dc.identifier.eissn2029-929Xen_US
dc.publisher.nameVilnius Gediminas Technical Universityen_US
dc.publisher.nameVilniaus Gedimino technikos universitetasen_US
dc.publisher.countryLithuaniaen_US
dc.publisher.countryLietuvaen_US
dc.publisher.cityVilniusen_US
dc.identifier.doihttps://doi.org/10.3846/bm.2012.016en_US


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