This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent yea...This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum variance strategy and equally weighted portfolio over a pool of 56 ETFs—listed on the Italian Stock Exchange—of eight different categories of specialisation. Empirical results confirm the usefulness of the group risk parity strategies in improving outcomes regarding diversification of risks among classes with good out-of-sample performance with respects to the target models.展开更多
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,w...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.展开更多
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 opt...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.展开更多
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 QFI...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展开更多
文摘This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum variance strategy and equally weighted portfolio over a pool of 56 ETFs—listed on the Italian Stock Exchange—of eight different categories of specialisation. Empirical results confirm the usefulness of the group risk parity strategies in improving outcomes regarding diversification of risks among classes with good out-of-sample performance with respects to the target models.
基金Supported by the National Science Foundatin of China (No.79670 0 64)
文摘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.
基金This project is supported by National Natural Science Foundation of China (No. 19871009)
文摘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.
文摘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
