Quantitative Investment Diversification Strategies via Various Risk Models

Maysam Khodayari Gharanchaei, Prabhu Prasad Panda and Xilin Chen

Papers from arXiv.org

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.

Date: 2024-04
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Advancements in Applied Business Research, June 2024

Downloads: (external link)
http://arxiv.org/pdf/2407.01550 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2407.01550

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().