Identification of Optimal Risky Portfolios for Hedge Fund
Authors
Runsheng Rong1, *, Yongwei Yang2, Mengru He3, Dingyin Hu4, Zhenting Gu5
1School of Computer Science and Mathematics, Arcadia University, Glenside, PA 19038, USA
2San Domenico School, San Anselmo, CA, 94960, USA,yyang22@sandomenico.org
3School of Mathematics and Statistics, Miami University, Oxford, OH, 45056, USA,hem15@miamioh.edu
4Tung Wah senior High School, Dongguan, Guangdong, 523000, China,2197068459@qq.com
5Zibo Experimental High School International Department, Zibo, Shandong, 255000, China,2958868741@qq.com
Corresponding Author
Runsheng Rong
Available Online 15 December 2021.
- DOI
- 10.2991/assehr.k.211209.433How to use a DOI?
- Keywords
- hedge fund; strategy; optimal risky portfolio; 5-fold cross-validation
- Abstract
The hedge fund market, stock market and bond market all have high risks. The purpose of our project is to build the optimal risky portfolio consisting of ten different strategies (which includes Arbitrage, CTA/Managed Futures etc.) to diversify risk and gain a high return, and we also conducted a 5-fold cross-validation test to validate if our method works accurately for all the periods. Using more strategies can help us carry out comprehensive analysis on different situations, periods and types of investment portfolio, so as to disperse risks and obtain high returns, also, ensure the diversity of portfolio and a lower risk.
- Copyright
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Runsheng Rong AU - Yongwei Yang AU - Mengru He AU - Dingyin Hu AU - Zhenting Gu PY - 2021 DA - 2021/12/15 TI - Identification of Optimal Risky Portfolios for Hedge Fund BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 2665 EP - 2669 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.433 DO - 10.2991/assehr.k.211209.433 ID - Rong2021 ER -