投资组合权重集中:最优策略和均衡含义

IF 1.8 Q2 BUSINESS, FINANCE
Paskalis Glabadanidis
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引用次数: 0

摘要

目的本文的目的是帮助投资者建立不太集中的投资组合,以及构建最优的收益集中投资组合。设计/方法论/方法当投资者关心其投资组合权重的集中程度时,提出了一个替代投资组合目标。最小化投资组合权重的集中度会导致众所周知的等权重投资组合成为最佳选择。最大化投资组合的预期回报和权重集中之间的权衡,产生了一个新的投资组合,其权重与每种证券的预期回报成比例。发现一项对30个行业投资组合和1000只个股的实证应用发现,无论是在拟议的集中度指标方面,还是在夏普比率、异常回报和市场贝塔等更传统的基于风险的指标方面,这两种拟议的策略都表现得很好。独创性/价值本文提出的最优风险集中投资组合是一个新颖的结果。该投资组合概括了先前从业者的直觉,即专注于具有最高预期回报的证券和多元化的概念。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Portfolio weights concentration: optimal strategies and equilibrium implications
PurposeThe purpose of this article is to help investors build less-concentrated portfolios as well as to construct optimal return-concentration portfolios.Design/methodology/approachAn alternative portfolio objective is proposed where investors care about the level of concentration of their portfolio weights. Minimizing the concentration of portfolio weights leads to the well-known equal-weight portfolio as the optimal choice. Maximizing the trade-off between the portfolio's expected return and the weight concentration produces a novel portfolio with weights proportional to the expected return of each security.FindingsAn empirical application with 30 industry portfolios and 1,000 individual stocks finds that both proposed strategies perform well out-of-sample both in terms of the proposed concentration measure but also in terms of more traditional risk-based measures like Sharpe ratios, abnormal returns and market betas.Originality/valueThe optimal risk-concentration portfolio proposed in this paper is a novel result. The portfolio generalizes prior practitioner intuition on focusing on securities with the highest expected returns and the concept of diversification.
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来源期刊
CiteScore
4.10
自引率
0.00%
发文量
47
期刊介绍: Treasury and Financial Risk Management ■Redefining, measuring and identifying new methods to manage risk for financing decisions ■The role, costs and benefits of insurance and hedging financing decisions ■The role of rating agencies in managerial decisions Investment and Financing Decision Making ■The uses and applications of forecasting to examine financing decisions measurement and comparisons of various financing options ■The public versus private financing decision ■The decision of where to be publicly traded - including comparisons of market structures and exchanges ■Short term versus long term portfolio management - choice of securities (debt vs equity, convertible vs non-convertible)
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