投资组合多样化，投资者能力各异

IF 1.8 4区物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY

EPL Pub Date : 2024-01-16 DOI:10.1209/0295-5075/ad1ef2

Nick James, Max Menzies

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引用次数: 0

摘要

摘要我们引入了新的数学方法来研究投资组合的最佳投资组合规模，同时考虑到具有不同技能水平的投资者。首先，我们分别以风险调整收益率的第 10、第 50 和第 90 个百分位数为基础，探讨了投资组合多样化对较差、一般和较强投资者的益处。其次，我们进行了一次全面的回归实验，研究了风险调整后收益率的量化值与不同投资者能力的投资组合规模之间的函数关系，并测试了这些函数的趋势和曲率。最后，我们利用 20 多年的数据，以连续的时间方式研究了差投资者、普通投资者和强投资者的最佳投资组合规模。我们的研究结果表明，强势投资者应持有集中型投资组合，弱势投资者应持有分散型投资组合；而普通投资者的最佳投资组合数量则随时间的变化而变化，分布不明显。

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Portfolio diversification with varying investor abilities

Abstract We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels. First, we explore the benefit of portfolio diversification on an annual basis for poor, average and strong investors defined by the 10th, 50th and 90th percentiles of risk-adjusted returns, respectively. Second, we conduct a thorough regression experiment examining quantiles of risk-adjusted return as a function of portfolio size across investor ability, testing for trends and curvature within these functions. Finally, we study the optimal portfolio size for poor, average and strong investors in a continuously temporal manner using more than 20 years of data. We show that strong investors should hold concentrated portfolios, poor investors should hold diversified portfolios; average investors have a less obvious distribution with the optimal number varying materially over time.

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来源期刊

EPL 物理-物理：综合

CiteScore

3.30

自引率

5.60%

发文量

332

审稿时长

1.9 months

期刊介绍： General physics – physics of elementary particles and fields – nuclear physics – atomic, molecular and optical physics – classical areas of phenomenology – physics of gases, plasmas and electrical discharges – condensed matter – cross-disciplinary physics and related areas of science and technology. Letters submitted to EPL should contain new results, ideas, concepts, experimental methods, theoretical treatments, including those with application potential and be of broad interest and importance to one or several sections of the physics community. The presentation should satisfy the specialist, yet remain understandable to the researchers in other fields through a suitable, clearly written introduction and conclusion (if appropriate). EPL also publishes Comments on Letters previously published in the Journal.