Clustering Financial Data for Mutual Fund Management

Francesco Lisi () and Marco Corazza ()
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Francesco Lisi: University of Padova

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 157-164 from Springer

Abstract: Abstract In this paper, an analysis of the performances of an active and quantitative fund management strategy is presented. The strategy consists of working with a portfolio constituted by 30 equally-weighted stock assets selected from a basket of 397 stock assets belonging to the Euro area. The asset allocation is performed in two phases: in the first phase, the 397 stock assets are split into 5 groups; in the second, 6 stock assets are selected from each of the group. The analysis focuses: i) on the specification of quantitative approaches able to effect the group formation; ii) on the definition of a profitable active and quantitative fund management strategy; iii) on the quantitative investigation of the contribution individually provided by each of the two phases to the total profitability of the fund management strategy.

Keywords: Mutual fund management; Euro stoxx 50 index; Relative strength index; Clusteranalysis; Autocorrelation structure; GARCH models; G11; C14; 91B28; 91C20; 62M10 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_20

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DOI: 10.1007/978-88-470-0704-8_20

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