论文标题
针对印度股市选定领域的优化投资组合的设计和分析
Design and Analysis of Optimized Portfolios for Selected Sectors of the Indian Stock Market
论文作者
论文摘要
投资组合优化是一个具有挑战性的问题，吸引了研究人员的大量关注和努力。股票投资组合的优化是一个特别困难的问题，因为股票价格波动，并且在大多数情况下对其未来波动和价值的估计非常困难，即使不是不可能。这项工作使用了三个比率，即夏普比率，排序比率和Calmar比率，用于设计印度国家国家证券交易所（NSE）中列出的六个重要部门的平均变化优化投资组合。设计三个投资组合是为每个部门设计的三个投资组合，从2017年1月1日至2020年12月31日至2020年12月31日至2020年12月31日的每个部门的十个最重要股票的历史价格最大化。对投资组合的评估是根据他们在2021年1月1日至2021年1月1日至2021年12月31日的测试中的测试期间的累计收益进行的，以实现累积的范围。确定。还确定了表现出相同比率的最大累积回报的扇区。结果为股票市场的投资者提供了有用的见解，可以根据当前收益和与六个部门及其股票相关的风险做出投资决策。
Portfolio optimization is a challenging problem that has attracted considerable attention and effort from researchers. The optimization of stock portfolios is a particularly hard problem since the stock prices are volatile and estimation of their future volatilities and values, in most cases, is very difficult, if not impossible. This work uses three ratios, the Sharpe ratio, the Sortino ratio, and the Calmar ratio, for designing the mean-variance optimized portfolios for six important sectors listed in the National Stock Exchange (NSE) of India. Three portfolios are designed for each sector maximizing the ratios based on the historical prices of the ten most important stocks of each sector from Jan 1, 2017, to Dec 31, 2020. The evaluation of the portfolios is done based on their cumulative returns over the test period from Jan 1, 2021, to Dec 31, 2021. The ratio that yields the maximum cumulative returns for both the training and the test periods for the majority of the sectors is identified. The sectors that exhibit the maximum cumulative returns for the same ratio are also identified. The results provide useful insights for investors in the stock market in making their investment decisions based on the current return and risks associated with the six sectors and their stocks.
