Portfolio Management

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2018-10-24 DOI:10.1002/9781119209720.ch10

G. Campolieti, R. Makarov

引用次数: 0

Abstract

The fund is a risk-targeted portfolio that invests primarily in other Salient Funds, exchangetraded funds, exchange-traded notes, futures and other derivatives in order to gain exposure to global equity markets, global interest rate markets, global credit markets and global commodity markets. · The portfolio targets a constant level of volatility, as measured by the annualized standard deviation. · The fund seeks to provide a balance of growth and income with a moderate correlation to overall equity and bond markets. · Designed for growth-oriented investors focused on long-term growth.

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项目组合管理

该基金是一种以风险为目标的投资组合，主要投资于其他突出基金、交易所交易基金、交易所交易票据、期货和其他衍生品，以获得对全球股票市场、全球利率市场、全球信贷市场和全球商品市场的敞口。·投资组合的目标是通过年化标准差来衡量恒定水平的波动性。·该基金旨在提供增长和收入之间的平衡，并与整体股票和债券市场保持适度的相关性。·专为注重长期增长的成长型投资者设计。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.