RECURRENT NEURAL NETWORK-BASED PORTFOLIO INVESTMENT

Instead of existing methods,a recurrent neural network is conceived to deal with three stages of portfolio management.Mainly,a deterministic annealing neural network is proposed for the approach to portfolio problem,which is a kind of quadratic programming.Finally,through a real example,we verify that the neural network model proposed in this paper is a good tool to solve the portfolio problem.

A dynamic decision model for portfolio investment and assets management

This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz’s portfolio selection theory and Sharpe’s rule for investment decision. An analytical solution is presented to show how an institu- tional or individual investor can combine Markowitz’s portfolio selection theory, generalized Sharpe’s rule and Value-at-Risk (VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the gen- eralized Markowitz’s portfolio selection theory and generalized Sharpe’s rule improve decision making for investment.

China＇s Outward Direct and Portfolio Investments

This paper analyzes developments and trends related to China＇s outward direct and financial investments by examining Chinese firms＇ overseas acquisitions, China＇s holdings of US Treasury securities, and the recently formally launched Qualified Domestic Institutional Investor programs. Strategies should be developed to reach optimal decisions for both direct and por（folio investments. We argue that China should have a longer-term view for both direct and portfolio investments, enabling China to become the leader in Asia while maintaining its sustainable growth objective. China should invest heavily in the development of the Asian bond market and the Asian Currency Fund when making both por（folio and direct investment decisions.

Application of Portfolio Model in the Real Investment Transactions

This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.

Goal Programming for Investment Portfolio and Its Application

To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and social benefit, a goal programming model is then introduced. The latter is a linear programming model adopting slack variable called deviation variable to turn inequation constraint into equation constraint, introducing a priority factor to denote different importance of the goals. A case study has demonstrated that this goal programming model can give different results according to different priority requirement of each objective.

QFII in China Security Market： Status Quo and Investment Strategy

This paper firstly introduces the definition and features of QFII, and then mainly analyzes the QFII＇s portfolio performance and investment yield, as welt as stock market. And at last, it refers to the impacts of QFII＇s companies and supervision systems in China security market. the investment ideas and strategies of QFII in China investment styles and strategies on investors, listed

Investment Strategy of the Temasek Holdings

Sovereign Wealth Funds （SWFs） are generally known as investment funds owned by national governments and financed by the country＇s foreign currency reserves （dollar, euro, and yen）, often through their central banks or via direct investments. The study investigated the investment strategy of the Temasek Holdings as one of the most successful SWFs which is owned by the government of Singapore. Temasek Holdings was founded in 1974 to manage part of the government＇s revenues. Present turbulent times create a big pressure on healthy investment strategy of the SWFs. But total shareholder return for Temasek since its inception in 1974 has been a healthy 17% compounded annually. The main objective of the paper is to focus on the role of the Temasek Holdings as a company managed on commercial principles with an aim to achieve long-term sustainable returns. The study also analyzed Temasek Holdings＇investment strategy. The study provides answers to questions like： why Temasek is of the most successful SWFs and what is the fund risk management？ Another part of the paper compares investment strategy of the Temasek Holdings with other SWFs. The study has been conducted mainly on the basis of literature survey, secondary information and with using various web sites and research paper. The analysis has been also based on disclosures appearing in the Temasek annual reports over the period from 2008 to 2010.

An Empirical Analysis on the Stable Return of Resident Funds

This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks.Firstly,from the perspective of portfolio investment,this paper introduces the traditional Markowitz mean-variance model and capital asset pricing model(CAPM),then selects four funds from different industries by MATLAB program in Sina Finance and Economics Network for application analysis from which the optimal portfolio point can be obtained under the combination of efficient frontier and capital allocation line.Subsequently,by analyzing the returns of long-term holdings and short-term operations of Noan Growth Hybrid Fund,it is confirmed that long-term holding funds can better cope with the changing market so as to obtain more stable returns.Finally,this paper discusses the dynamic adjustments of asset portfolio.Resident investors are supposed to take into account the market situation and the changes of the fund itself to adjust the holding fund portfolio.Based on the research in this paper,resident investors ought to combine investment funds to diversify risk allocation and make long-term holding plans according to their risk tolerance.At the same time,they should also make appropriate dynamic adjustments when the external environment changes to ensure long-term benefits.

Analysis of the cryptocurrency market using different prototype-based clustering techniques

Since the emergence of Bitcoin,cryptocurrencies have grown significantly,not only in terms of capitalization but also in number.Consequently,the cryptocurrency market can be a conducive arena for investors,as it offers many opportunities.However,it is difficult to understand.This study aims to describe,summarize,and segment the main trends of the entire cryptocurrency market in 2018,using data analysis tools.Accord-ingly,we propose a new clustering-based methodology that provides complementary views of the financial behavior of cryptocurrencies,and one that looks for associations between the clustering results,and other factors that are not involved in clustering.Particularly,the methodology involves applying three different partitional clustering algorithms,where each of them use a different representation for cryptocurrencies,namely,yearly mean,and standard deviation of the returns,distribution of returns that have not been applied to financial markets previously,and the time series of returns.Because each representation provides a different outlook of the market,we also examine the integration of the three clustering results,to obtain a fine-grained analysis of the main trends of the market.In conclusion,we analyze the association of the clustering results with other descriptive features of cryptocurrencies,including the age,technological attributes,and financial ratios derived from them.This will help to enhance the profiling of the clusters with additional descriptive insights,and to find associations with other variables.Consequently,this study describes the whole market based on graphical information,and a scalable methodology that can be reproduced by investors who want to understand the main trends in the market quickly,and those that look for cryptocurrencies with different financial performance.In our analysis of the 2018 and 2019 for extended period,we found that the market can be typically segmented in few clusters(five or less),and even considering the intersections,the 6 more populations account for 75%of the market.Regarding the associations between the clusters and descriptive features,we find associations between some clusters with volume,market capitalization,and some financial ratios,which could be explored in future research.

Grey Model of the Investment Portfolio Optimization

The theory of investment portfolio is a very important theory in the modern economical system. Based on the feature of the theory, the paper sets up new various kinds of models of investment portfolio, namely grey optimization models. These models are more practical and objective to existing problems.

投资组合策略研究

An optimal investment strategy is extremely worth discussing and studying in our actual investment activities, not only for individual investors and companies but also for governments and all other kinds of investors. And there is no doubt that we cannot find the only way and meet the needs of every investor. But if we can get an authoritative ranking according to the needs of investors, we can find the different best investment portfolio for different investors who have different view of risk theoretically and practically. From a typical case. all about these problems is what I will discuss in this article.

Does Foreign Direct Investment Provide Desirable Development Finance? The Case of China

Foreign direct investment （FDI） is ofen considered as a cost-effective and risk-reducing source for development finance. This paper, however, shows that FDI finance often entails underestimated risks and costs. FDI might react sensitively to business cycles and might not be as ＂permanent＂ as conventionally believed. FDI might also accelerate other forms of capital flow in times of financial difficulties and, hence, destabilize ftnancial order. In addition to the risks, compensations to FDI and the high import-dependency of FDI-related trade lead to a considerable drain on the balance of payments. Moreover, the reliance on foreign capital for development finance is equivalent to building a Ponzi financing scheme and, therefore, is unsustainable. Given the fact that FDI financing is risky and costly and China does not lack savings, it is suggested in the present paper that China ＇s efforts in attracting FDI should not aim at external capital provisioning.

Mean-variance Portfolio Selections in Continuous-time Model with Stochastic Interest Rate Process

Under the continuous time （d＋1） assets market model with finite time horizon T, and the condition that all coefficients in model are stochastic processes, the decision of investment portfolio selection had been studied. By using K.Itǒ formuia and backward stochastic differential equation＇s theory, on the relation of investment portfolio processes, fortune processes, the backward stochastic differential equation model for stochastic control problem had been established, the relation between the prime fortune process and the end- all fortune process had been proposed, the existence and uniqueness of investment portfolio had been proved, and the formula for investment portfolio had been arrived. On the setting of mean-variance portfolio selection, we obtained the formula of optimal efficient investment portfolio. Furthermore, the mean-variance efficient frontier is too obtained explicitly in the form of parameter.