Разработка стратегии оптимизации портфеля акций компаний нефтегазового сектора
https://doi.org/10.38050/01300105201724
Аннотация
В статье представлен анализ традиционных и современных методов оптимизации портфеля, таких как математическое программирование, генетический алгоритм, критерий приоритета, нахождение весов акций пропорционально рыночной капитализации компаний и их финансовых коэффициентов. На основе данные биржевых торгов с 2010 по 2015 г. при помощи эконометрического аппарата были разработаны стратегии эффективного отбора акций в портфель, базирующиеся на комплексном анализе как функций распределения временных рядов, так и фундаментальных показателей деятельности эмитентов.
Список литературы
1. Drew M. E., Naughton, T. and Veeraraghavan M. Firm Size, Book-to-Market Equity and Security Returns: Evidence from the Shanghai Stock Exchange // Australian Journal of Management. - 2003. - 28. - P. 119-140.
2. Eling M. and F. Schuhmacher. Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds? // Journal of Banking & Finance. - 2007. - P. 2632-2647.
3. Fama E. F. and K. R. French. The cross-section of expected stock returns // The Journal of Finance. - 1992. - 47(2). - P. 427-465.
4. Fitcher D. P. Application of Genetic Algorithms in Portfolio Optimization for the Oil and Gas Industry // Merak Project Inc. 2000. Society for Petroleum Engineers (SPE).
5. Board J., Sutcliffe Ch. Risk and Income Tradeoffs in Regional Policy: a Portfolio Theoretic Approach // Journal of Regional Science. - May 1991.
6. Mulvey J. M. and Vladimirou H. Stochastic Network Programming for Financial Planning Problems // Management Science. - 1992. - November 1.
7. Mulvey J. M. An Asset-Liability Investment System // Interfaces. - 1994. - 24. - P. 22-33.
8. Hiller R. S., Eckstein J. Stochastic dedication: Designing fixed income portfolios using massively parallel Benders’ decomposition // Management Science. - 1993. - 39(11). - P. 1422-1438.
9. Huang C.-F., Chang B., Cheng D-W. Feature Selection and Parameter Optimization of a Fuzzy-based Stock Selection Model Using Genetic Algorithms // International Journal of Fuzzy Systems. - 2012. - Vol. 14. - No. 1. - P. 65-76.
10. Garkaz M. The selection and optimization of stock portfolio using genetic algorithm based on mean-semi variance model // International Conference on economics and Finance Reaserch, IPEDR, LACSIT Press, 2011. P. 379-381.
11. Glover F. and Jones K. A Stochastic Generalized Network Model and Large Scale Mean-Variance Algorithm for Portfolio Selection // Journal of Information and Optimization Sciences. - 1988. - Vol. 9. - № 3. - P. 299-316.
12. Gregoriou, G. N., and Gueyie J.-P. Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio // Journal of Wealth Management. - 2006. - 6. - P. 77-83.
13. Keim D. B. and Ziemba W. T. Security Market Imperfections in World Wide Equity Markets// Cambridge University Press, 2000.
14. Konno H. and Kobayashi H. An integrated stock-bond portfolio optimization model // Journal of Economic Dynamics and Control. - 1997. - Vol. 21. - P. 1227-1244.
15. Lazo J. G., Maria, M., Vellasco, R, Auelio, M. and C. Pacheco. A hybrid Genetic-Neural System for portfolio Selection and Management // Proceeding Sixth International Conference in Engineering Application of Neural Networks, 2000.
16. Lam K. S. The relationship between size, book-to-market equity ratio, earnings price ratio, and return for the Hong Kong stock market // Global Finance Journal. - 2002. - 13. - P. 63-179.
17. Lin C-M., Gen M. An effective Decision-based Genetic in Multi-objective Portfolio Optimization Problem // Applied Mathematical Sciences. - 2007. - 1(5). - P. 201-210.
18. Nigel Meade and Gerald R. Salkin. Developing and Maintaining an Equity Index Fund // Journal of the Operational Research Society. - July 1990. - Vol. 41. - Issue 7. - P. 599-607.
19. Markowitz H. Portfolio Selection // The Journal of Finance. - 1952. - Vol. 7. - No. 1. - P. 77-91.
20. Rudolf J. Freund. The Introduction of Risk into a Programming Model // Econometrica. - 1956. - Vol. 24. - No. 3. - P. 253-263.
21. Pereira R. Genetic Algorithm Optimization for Finance and Investments // MPRA Paper. 2000. 8610. University Library of Munich.
22. Petridis V., Kazardis S., Bakirtzis A. Varying Fitness Functions in Genetic Algorithm Constrained Optimization: The Cutting Stock and Unit Commitment Problems // IEEE Transactions on Systems, Man, and Cybernetics-Part B. - 1998. - 28(5). - P. 629-640.
23. Sefiane S., Benbouziane M. Portfolio Selection Using Genetic Algorithm // Journal of Applied Finance & Banking. - 2012. - Vol. 2. - No. 4. - P. 143-154.
24. Sinha P., Chandwani A., Sinha T. Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm // University of Delhi, 2013.
25. Stavros A. Zenios and Pan Kang. Mean-absolute deviation portfolio optimization for mortgage-backed securities // Annals of Operations Research. - December 1993. - Vol. 45. - Issue 1. - P. 433-450.
26. Rudolf M. and Zimmermann H. An Algorithm for International Portfolio Selection and Optimal Currency Hedging, in J. Mulvey and W. Ziemba (Eds.) // Worldwide Asset and Liability Modelling (Cambridge: Cambridge University Press). - 1998. - P. 315-340.
27. Vassiadou-Zeniou C. and Zenios S. A. Robust optimization models for managing portfolios// European Journal of Operational Research, 1995.
28. Wei-Guo Zhang, Wei CHEN, and Ying-Luo Wang. The Adaptive Genetic Algorithms for Portfolio Selection Problem // IJCSNS International Journal of Computer Science and Network Security. - 2006. - Vol. 6. - No. 1. - P. 196-200.
29. Wong K. A., Tan R.S. K. & Liu W. The cross-section of stock returns on the Shanghai Stock Exchange // Quantitative Finance and Accounting. - 2006. - 26. - P. 23-39.
Рецензия
Для цитирования:
Гурвиц Ю.Б. Разработка стратегии оптимизации портфеля акций компаний нефтегазового сектора. Вестник Московского университета. Серия 6. Экономика. 2017;(2):65-89. https://doi.org/10.38050/01300105201724
For citation:
Gurvits Yu.B. The Development of Strategy for Stock Portfolio Optimization in Oil and Gas Sector. Moscow University Economics Bulletin. 2017;(2):65-89. (In Russ.) https://doi.org/10.38050/01300105201724
Просмотров:
320
Послать статью по эл. почте 