亚洲交易所交易基金均值方差与安全优先投资组合的比较分析

2020 IEEE 7th International Conference on Industrial Engineering and Applications (ICIEA) Pub Date : 2020-04-01 DOI:10.1109/ICIEA49774.2020.9102041

M. Young, T. T. N. Chuahay, J. Diaz

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引用次数: 9

摘要

本文对亚洲交易所交易基金的均值方差投资组合和安全优先投资组合进行了比较分析。为了考虑所有类型的投资者，使用了安全优先(均值-方差)模型的不同投资组合权重阈值(风险-收益权衡参数)。回归检验结果表明，安全优先投资组合和均值方差投资组合均优于基准投资组合。我们还观察到，大多数安全第一的投资者和寻求风险的均值方差投资者可以显著优于基准。总的来说，这项研究提供了替代投资框架，可能被视为任何投资者的通用投资程序。

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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Comparative Analysis of Mean-Variance and Safety-First Portfolio Utilizing Exchange Traded Funds in Asia

This paper presents a comparative analysis of mean-variance and safety-first portfolios exploiting exchange traded funds in ASIA. Different portfolio weight thresholds (risk-return trade-off parameters) for safety-first (mean-variance) model are used in order to consider all type of investors. Back-test result shows that Both safety-first and mean-variance portfolios of exchange traded funds can outperform the benchmark. It was also observed that most safety-first investors and risk-seeking mean-variance investors can significantly outperform the benchmark. Overall, this study offers alternative investment frameworks that can probably be considered as a generic investment procedure for any investor.

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2020 IEEE 7th International Conference on Industrial Engineering and Applications (ICIEA)

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