Quantitative Investment Diversification Strategies via Various Risk Models
Portfolio Management
2024-07-23 v1 Optimization and Control
Abstract
This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various risk models and for each model different investment strategies are tested. Out of sample tests are performed on a long-term horizon from 1970 until 2023.
Keywords
Cite
@article{arxiv.2407.01550,
title = {Quantitative Investment Diversification Strategies via Various Risk Models},
author = {Maysam Khodayari Gharanchaei and Prabhu Prasad Panda and Xilin Chen},
journal= {arXiv preprint arXiv:2407.01550},
year = {2024}
}