Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanageme...Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanagement costs, and better long-term performance, but are at the risk ofsevere short-term declines due to a lack of Risk Control tools. Although thereare some methods to use historical volatility for Risk Control, it is still difficultto adapt to the rapid switch of market styles. How to strengthen the RiskControl management of the portfolio while maintaining the original advantagesof smart beta has become a new issue of concern in the industry. Thispaper demonstrates the scientific validity of using a probability prediction forposition optimization through an optimization theory and proposes a novelnatural gradient boosting (NGBoost)-based portfolio optimization method,which predicts stock prices and their probability distributions based on non-Bayesian methods and maximizes the Sharpe ratio expectation of positionoptimization. This paper validates the effectiveness and practicality of themodel by using the Chinese stock market, and the experimental results showthat the proposed method in this paper can reduce the volatility by 0.08 andincrease the expected portfolio cumulative return (reaching a maximum of67.1%) compared with the mainstream methods in the industry.展开更多
With its ideal location and history of international finance and trade, the bustling port of Shanghai continues to offer a good climate for investors from around the world.
While financial or trade integration between countries may mcrease the size of the market and aid the adoption of more advanced technologies, will it also increase the level of urban unemployment for a developing coun...While financial or trade integration between countries may mcrease the size of the market and aid the adoption of more advanced technologies, will it also increase the level of urban unemployment for a developing country？ In this model, there is unemployment in the urban sector. Manufacturing firms engage in oligopolistic competition and choose increasing returns technologies to maximize profits. Financial firms provide capital to manufacturing firms and they also engage in oligopolistic competition. We show that an increase in the wage rate in the manufacturing sector changes neither the level of technology nor the level of employment in the manufacturing sector. While financial or trade integration between developing countries leads manufacturing firms to adopt more advanced technologies, the level and rate of employment in the manufacturing sector will not deteriorate.展开更多
基金supported by the National Natural Science Foundation of China[Grant Number 61902349].
文摘Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanagement costs, and better long-term performance, but are at the risk ofsevere short-term declines due to a lack of Risk Control tools. Although thereare some methods to use historical volatility for Risk Control, it is still difficultto adapt to the rapid switch of market styles. How to strengthen the RiskControl management of the portfolio while maintaining the original advantagesof smart beta has become a new issue of concern in the industry. Thispaper demonstrates the scientific validity of using a probability prediction forposition optimization through an optimization theory and proposes a novelnatural gradient boosting (NGBoost)-based portfolio optimization method,which predicts stock prices and their probability distributions based on non-Bayesian methods and maximizes the Sharpe ratio expectation of positionoptimization. This paper validates the effectiveness and practicality of themodel by using the Chinese stock market, and the experimental results showthat the proposed method in this paper can reduce the volatility by 0.08 andincrease the expected portfolio cumulative return (reaching a maximum of67.1%) compared with the mainstream methods in the industry.
文摘With its ideal location and history of international finance and trade, the bustling port of Shanghai continues to offer a good climate for investors from around the world.
文摘While financial or trade integration between countries may mcrease the size of the market and aid the adoption of more advanced technologies, will it also increase the level of urban unemployment for a developing country？ In this model, there is unemployment in the urban sector. Manufacturing firms engage in oligopolistic competition and choose increasing returns technologies to maximize profits. Financial firms provide capital to manufacturing firms and they also engage in oligopolistic competition. We show that an increase in the wage rate in the manufacturing sector changes neither the level of technology nor the level of employment in the manufacturing sector. While financial or trade integration between developing countries leads manufacturing firms to adopt more advanced technologies, the level and rate of employment in the manufacturing sector will not deteriorate.
