Quantitative Investment Diversification Strategies via Various Risk Models
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866911963375730688 |
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| author | Gharanchaei, Maysam Khodayari Panda, Prabhu Prasad Chen, Xilin |
| author_facet | Gharanchaei, Maysam Khodayari Panda, Prabhu Prasad Chen, Xilin |
| contents | This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various risk models and for each model different investment strategies are tested. Out of sample tests are performed on a long-term horizon from 1970 until 2023. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_01550 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Quantitative Investment Diversification Strategies via Various Risk Models Gharanchaei, Maysam Khodayari Panda, Prabhu Prasad Chen, Xilin Portfolio Management Optimization and Control This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various risk models and for each model different investment strategies are tested. Out of sample tests are performed on a long-term horizon from 1970 until 2023. |
| title | Quantitative Investment Diversification Strategies via Various Risk Models |
| topic | Portfolio Management Optimization and Control |
| url | https://arxiv.org/abs/2407.01550 |