发布求助
文献互助 智能选刊 最新文献

Journal of interaction science最新文献

筛选
英文 中文
Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis 具有盈利股息收益率策略的生命周期投资:模拟和非参数分析
Journal of interaction science Pub Date : 2017-09-12 DOI: 10.21314/JOIS.2017.088
W. Fong
{"title":"Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis","authors":"W. Fong","doi":"10.21314/JOIS.2017.088","DOIUrl":"https://doi.org/10.21314/JOIS.2017.088","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48384089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Winning Investment Strategies Based on Financial Crisis Indicators 基于金融危机指标的投资制胜策略
Journal of interaction science Pub Date : 2017-09-08 DOI: 10.21314/JOIS.2018.102
Antoine Kornprobst
{"title":"Winning Investment Strategies Based on Financial Crisis Indicators","authors":"Antoine Kornprobst","doi":"10.21314/JOIS.2018.102","DOIUrl":"https://doi.org/10.21314/JOIS.2018.102","url":null,"abstract":"The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our framework and data, we will demonstrate that our systematic trading strategies are able to make money, not as a result of pure luck but, in a reproducible way and while avoiding the pitfall of over fitting, as a result of the skill of the operators and their understanding and knowledge of the financial market. Using singular value decomposition (SVD) techniques in order to compute all spectra in an efficient way, we have built two kinds of financial crisis indicators with a demonstrable power of prediction. Firstly, there are those that compare at every date the distribution of the eigenvalues of a covariance or correlation matrix to a distribution of reference representing either a calm or agitated market reference. Secondly, we have those that merely compute at every date a chosen spectral property (trace, spectral radius or Frobenius norm) of a covariance or correlation matrix. Aggregating the signals provided by all the indicators in order to minimize false positive errors, we then build systematic trading strategies based on a discrete set of rules governing the investment decisions of the investor. Finally, we compare our active strategies to a passive reference as well as to random strategies in order to prove the usefulness of our approach and the added value provided by the out-of-sample predictive power of the financial crisis indicators upon which our systematic trading strategies are built.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"7 1","pages":"27-49"},"PeriodicalIF":0.0,"publicationDate":"2017-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42962321","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach Black–Litterman、奇异贝塔和可变有效投资组合：一种综合方法
Journal of interaction science Pub Date : 2017-06-20 DOI: 10.21314/JOIS.2017.084
Ricky Cooper, Marat Molyboga
{"title":"Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach","authors":"Ricky Cooper, Marat Molyboga","doi":"10.21314/JOIS.2017.084","DOIUrl":"https://doi.org/10.21314/JOIS.2017.084","url":null,"abstract":"This paper brings together Black-Litterman optimization, exotic betas, and varying starting portfolios into one complete, symbiotic framework. The approach is unique because these techniques are often viewed as alternatives, and not as complements to each other. The paper is comprised of two main sections. The first section demonstrates using exotic beta as the “views” in the Black-Litterman optimization. This approach benefits investors who already utilize the classic Black-Litterman approach and appreciate advances in the exotic beta research, and also those who focus on practical implementation of exotic betas. The second section explores using the risk parity portfolio as an efficient starting portfolio for Black-Litterman optimization on both theoretical and practical grounds. This paper demonstrates that risk parity is a highly effective starting point in many situations. Finally, as part of our discussion, we derive conditions under which almost any completely diversified portfolio may be used as a starting portfolio in the Black-Litterman process. The integrated methodology developed is robust, flexible, and easily implemented, which means that a wide range of investors can benefit from this framework.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"6 1","pages":"13-30"},"PeriodicalIF":0.0,"publicationDate":"2017-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47982191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interconnectedness Risk and Active Portfolio Management 关联风险与主动投资组合管理
Journal of interaction science Pub Date : 2017-02-22 DOI: 10.2139/SSRN.2796443
Eduard Baitinger, Jochen Papenbrock
{"title":"Interconnectedness Risk and Active Portfolio Management","authors":"Eduard Baitinger, Jochen Papenbrock","doi":"10.2139/SSRN.2796443","DOIUrl":"https://doi.org/10.2139/SSRN.2796443","url":null,"abstract":"Interconnectedness is an alternative risk concept that so far has earned little attention in the asset management academia and industry. In this paper, we show that this neglect is not justified, as interconnectedness risk (i) has only moderate or no connection to conventional portfolio optimization inputs and (ii) active investment strategies based on interconnectedness information outperform their conventional peers. Utilizing a multi asset dataset, we measure interconnectedness risk by the embeddedness intensity, i.e. centrality, of assets in a correlation network, a concept from graph theory. Using the most common centrality measures, we first conduct empirical similarity studies analyzing how different centrality scores relate to each other and to conventional portfolio optimization inputs. Next, we outline how centrality can be incorporated in a risk-based as well as in a risk-return-based framework. Out-of-sample performance studies of centrality-optimized portfolios prove their competitiveness.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46882793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Risk constraints for portfolio optimization with fixed-fee transaction cost 具有固定费用交易成本的投资组合优化的风险约束
Journal of interaction science Pub Date : 2017-02-22 DOI: 10.21314/JOIS.2017.082
M. Hirsch, N. Navarro
{"title":"Risk constraints for portfolio optimization with fixed-fee transaction cost","authors":"M. Hirsch, N. Navarro","doi":"10.21314/JOIS.2017.082","DOIUrl":"https://doi.org/10.21314/JOIS.2017.082","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42867254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investing across periods with Mahalanobis distances 以马氏距离进行跨时期投资
Journal of interaction science Pub Date : 2017-02-14 DOI: 10.21314/JOIS.2017.080
Edouard Sénéchal, Brian D. Singer
{"title":"Investing across periods with Mahalanobis distances","authors":"Edouard Sénéchal, Brian D. Singer","doi":"10.21314/JOIS.2017.080","DOIUrl":"https://doi.org/10.21314/JOIS.2017.080","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41815853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What is interaction science? Revisiting the aims and scope of JoIS 什么是互动科学?回顾JoIS的目标和范围
Journal of interaction science Pub Date : 2016-12-01 DOI: 10.1186/s40166-016-0015-5
G. S. Bahr, C. Stary
{"title":"What is interaction science? Revisiting the aims and scope of JoIS","authors":"G. S. Bahr, C. Stary","doi":"10.1186/s40166-016-0015-5","DOIUrl":"https://doi.org/10.1186/s40166-016-0015-5","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"4 1","pages":"1-19"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-016-0015-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65837064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Equal risk allocation with carry, value and momentum 相等的风险分配与利差，价值和动量
Journal of interaction science Pub Date : 2016-11-01 DOI: 10.21314/JOIS.2016.075
B. Gnedenko, Igor Yelnik
{"title":"Equal risk allocation with carry, value and momentum","authors":"B. Gnedenko, Igor Yelnik","doi":"10.21314/JOIS.2016.075","DOIUrl":"https://doi.org/10.21314/JOIS.2016.075","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706487","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Insights into robust optimization: decomposing into mean–variance and risk-based portfolios 洞察稳健优化:分解为均值方差和基于风险的投资组合
Journal of interaction science Pub Date : 2016-11-01 DOI: 10.21314/JOIS.2016.076
T. Heckel, Raul Leote de Carvalho, Xiao Lu, Romain Perchet
{"title":"Insights into robust optimization: decomposing into mean–variance and risk-based portfolios","authors":"T. Heckel, Raul Leote de Carvalho, Xiao Lu, Romain Perchet","doi":"10.21314/JOIS.2016.076","DOIUrl":"https://doi.org/10.21314/JOIS.2016.076","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The effect of market conditions on forward-looking portfolio performance 市场状况对前瞻性投资组合表现的影响
Journal of interaction science Pub Date : 2016-08-09 DOI: 10.21314/JOIS.2016.073
Binam Ghimire, L. Perrott, D. Karki
{"title":"The effect of market conditions on forward-looking portfolio performance","authors":"Binam Ghimire, L. Perrott, D. Karki","doi":"10.21314/JOIS.2016.073","DOIUrl":"https://doi.org/10.21314/JOIS.2016.073","url":null,"abstract":"This paper applies a forward looking approach to the minimum variance portfolio optimisation problem for a selection of 100 stocks. The purpose is to determine which market conditions favour this strategy of using option implied information. Out-of-sample volatility, Sharpe ratio, and certainty equivalent return is measured against eight benchmarks, including the equal weighted 1/N and minimum variance portfolio based on historical estimates. Equivalent or superior performance is evident in terms of reduced volatility and higher certainty equivalent return. However, strict outperformance of the best benchmarks is only seen when option-to-stock volume ratios are high and information signals in the options market are strongest.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706297","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信