Social Networks, Asset Allocation and Portfolio Diversification

Portfolio Selection;Dependence;Data Clustering;Diversification;Quantitative Finance;Quantitative Finance

Wang, Qiutong

University of Waterloo

关键词: Portfolio Selection;    Dependence;    Data Clustering;    Diversification;    Quantitative Finance;    Quantitative Finance;   

Others  :  https://uwspace.uwaterloo.ca/bitstream/10012/9176/1/Wang_Qiutong.pdf

瑞士|英语

来源: UWSPACE Waterloo Institutional Repository

【 摘 要 】

In this thesis we consider the problem of choosing financial assets from the equitymarkets for portfolio construction purposes. We adapt various measures to model thedependence structure among financial assets, taking both the linear and the non-linear relationships into consideration. The dependence structure is reflected by the social networks. We apply the data clustering technique (Frey and Dueck, 2007) to the social networks and study the equity selections based on different dependence measures. The regime switching model (Perlin, 2014) is considered as well in order to identify the changes in the market phases. The performance of the equity selections is evaluated within the mean-variance framework. In addition, we present a diversification analysis of the equity selections with the methodology proposed by Meucci (2009). The numerical tests are applied on three major Chinese equity markets. Through changing the market environment, we acquire a good understanding of the influencing factors for choosing financial assets.