近似增长最优投资组合与股价泡沫

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2020-11-01 DOI:10.1142/s021902492050048x

E. Platen, Renata Rendek

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引用次数: 1

摘要

在实践中，大型股票市场的最优投资组合构建从未得到最终解决，因为以足够的精度估计所需的收益均值是一项非常棘手的任务。通过避免估计，本文近似于发达市场股票的增长最优投资组合(GP)，具有良好的多样化，层次加权指数(HWI)。对于以HWI单位计价的股票，其当前价值被证明严格大于其未来预期价值，这表明股价泡沫的存在，可以系统地利用其进行长期资产管理。结果表明，作为GP的代理，HWI没有留下很大的性能改进空间。

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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APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES

In practice, optimal portfolio construction for large stock markets has never been conclusively resolved because estimating the required means of returns with sufficient accuracy is a highly intractable task. By avoiding estimation, this paper approximates closely the growth optimal portfolio (GP) for the stocks of developed markets with a well-diversified, hierarchically weighted index (HWI). For stocks denominated in units of the HWI, their current value turns out to be strictly greater than their future expected values, which indicates the existence of stock price bubbles that could be systematically exploited for long-term asset management. It is shown that the HWI does not leave much room for significant performance improvements as proxy for the GP.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.