股票市场的中观结构与投资组合优化

IF 0.8 4区 经济学 Q3 ECONOMICS
Sebastiano Michele Zema, Giorgio Fagiolo, Tiziano Squartini, Diego Garlaschelli
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引用次数: 0

摘要

市场结构中的特异性和系统性因素已被证明是导致最优均值-方差配置偏离启发式 "等权重 "投资组合的原因。在本文中,我们利用随机矩阵理论衍生的聚类技术,研究了第三种中间(中观)市场结构,结果表明这种结构随着时间的推移最为稳定,并从投资组合管理的角度提供了重要的实用见解。首先,我们说明了通过过滤相关矩阵中的随机和系统共同运动来构建投资组合在预测和实现风险概况方面的益处。其次,我们根据过滤后出现的股票群组重新定义了投资组合优化问题。最后,我们提出了一种新的财富分配方案,对属于同一群体的股票给予同等重视,并证明它进一步提高了所构建投资组合的可靠性。在不同的时间跨度、横截面维度和定义优化问题的约束条件下,结果都是稳健的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Mesoscopic structure of the stock market and portfolio optimization

Mesoscopic structure of the stock market and portfolio optimization

The idiosyncratic and systemic components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic ‘equally weighted’ portfolio. In this paper, we exploit clustering techniques derived from Random Matrix Theory to study a third, intermediate (mesoscopic) market structure that turns out to be the most stable over time and provides important practical insights from a portfolio management perspective. First, we illustrate the benefits, in terms of predicted and realized risk profiles, of constructing portfolios by filtering out both random and systemic co-movements from the correlation matrix. Second, we redefine the portfolio optimization problem in terms of stock clusters that emerge after filtering. Finally, we propose a new wealth allocation scheme that attaches equal importance to stocks belonging to the same community and show that it further increases the reliability of the constructed portfolios. Results are robust across different time spans, cross sectional dimensions and set of constraints defining the optimization problem.

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来源期刊
CiteScore
2.20
自引率
18.20%
发文量
33
期刊介绍: Journal of Economic Interaction and Coordination addresses the vibrant and interdisciplinary field of agent-based approaches to economics and social sciences. It focuses on simulating and synthesizing emergent phenomena and collective behavior in order to understand economic and social systems. Relevant topics include, but are not limited to, the following: markets as complex adaptive systems, multi-agents in economics, artificial markets with heterogeneous agents, financial markets with heterogeneous agents, theory and simulation of agent-based models, adaptive agents with artificial intelligence, interacting particle systems in economics, social and complex networks, econophysics, non-linear economic dynamics, evolutionary games, market mechanisms in distributed computing systems, experimental economics, collective decisions. Contributions are mostly from economics, physics, computer science and related fields and are typically based on sound theoretical models and supported by experimental validation. Survey papers are also welcome. Journal of Economic Interaction and Coordination is the official journal of the Association of Economic Science with Heterogeneous Interacting Agents. Officially cited as: J Econ Interact Coord
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