Title :
Research on Compounding & De-Compound-Based Portfolio Operation
Author :
Hu Long-ying ; Zhang Zi-li
Author_Institution :
Sch. of Manage., Harbin Inst. of Technol.
Abstract :
Investment is a continuous process, the portfolio is impossible to be constructed at one time, thus it needs to be adjusted and optimized at the right moment during the investment process. The thesis applies compounding & de-compound to the portfolio optimization, has designed the portfolio optimization project, and established a model which can optimize the portfolio continuously in the investment process. In the end, this idea and program was used to testify the real efficiency in index of SSE 50 (index of Shanghai stock exchange)
Keywords :
econometrics; investment; optimisation; pricing; statistical analysis; stock markets; Shanghai stock exchange index; compound-based portfolio operation; decompound-based portfolio operation; investment process; portfolio optimization project; Design optimization; Investments; Mathematical model; Modems; Portfolios; Pricing; Risk analysis; Stock markets; Technology management; Testing; Compounding; Decompounding; Element; Portfolio;
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.314111