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一个新的投资组合构建策略,基于股票的核心-边缘配置文件
Imran Ansari1, Charu Sharma2, Akshay Agrawal3
1Department of Mathematics, Shiv Nadar Institution of Eminence Deemed to be University, Delhi-NCR, India. ia717@snu.edu.in.
Scientific reports
|October 22, 2025
概括
这项研究表明,专注于金融网络的外围,特别是使用核心-外围结构,可以显著提高股票投资组合的业绩. 这些基于网络的策略为投资者提供比传统方法更好的回报.
科学领域:
- 量化金融 量化金融
- 网络科学 网络科学
- 计算经济学计算经济学
背景情况:
- 金融市场表现出复杂的网络结构.
- 对于有效的投资策略来说,了解核心-外围等中等规模结构至关重要.
研究的目的:
- 根据金融网络的核心-外围结构,研究投资组合优化策略的性能.
- 将这些新的策略与既有方法进行比较.
主要方法:
- 使用股票皮尔森相关性构建金融网络.
- 在最小跨度树和平面最大过图中识别核心-外围结构.
- 建立基于边缘股票选择的投资组合.
- 使用夏普比率,索尔蒂诺比率,信息比率和平均收益率来评估投资组合业绩.
主要成果:
- 从金融网络的边缘构建的投资组合始终优于传统策略.
- 确定的核心-外围资料显示了在不同时间段的统计学意义.
- 该策略在日间和日内交易中都被证明是有效的.
结论:
- 股票市场网络的核心-外围配置文件是优化投资组合的统计学上显著和有价值的指标.
- 这种以网络为中心的方法提供了更好的回报,并为投资者提供了可操作的见解.
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