投资经理在绿色股票与棕色股票中施展才能有多容易？

Hedge and Mutual Funds' Fees and the Separation of Private Investments

A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fund's investment opportunities, and the private portfolio only on private opportunities. This conclusion is valid both for a hedge fund manager, who is paid performance fees with a high-water mark provision, and for a mutual fund manager, who is paid management fees proportional t…

Modeling Concordances of Company's Investment Directions With Its Market Attraction

This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its economic activity are created on the basis of the Mean-Variance Analysis and Regression Analysis. On another side, expert evaluation methods also clarified the same influence parameters, but it was made according to the opinion of company managers. These two evaluation rows are used when making managerial decisions.

Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) the investment flows are used to infer their drifts and intensit…

Using MOEAs To Outperform Stock Benchmarks In The Presence of Typical Investment Constraints

Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respective fundamental data. We use multiobjective evolutionary algorithms (MOEAs) to satisfy the above real-world constraints. The portfolios generated consistently outperform typical performance benchmarks and have statistically significant asset selection.

Learning to Manage Investment Portfolios beyond Simple Utility Functions

While investment funds publicly disclose their objectives in broad terms, their managers optimize for complex combinations of competing goals that go beyond simple risk-return trade-offs. Traditional approaches attempt to model this through multi-objective utility functions, but face fundamental challenges in specification and parameterization. We propose a generative framework that learns latent representations of fund manager strategies without requiring explicit utility specification. Our approach directly models the conditional probability of a fund's portfolio weights, given stock charact…

通过股票聚类和整数规划构建投资基金

Constructing an Investment Fund through Stock Clustering and Integer Programming

本文利用整数规划和聚类技术，基于美国股票数据分析，构建投资组合以追踪交易所交易基金，并以纳斯达克100指数基金重构为例验证方法。