Asset allocation models for big tech stocks: The importance of lower partial moments and short length windows

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE Borsa Istanbul Review Pub Date : 2024-09-01 DOI:10.1016/j.bir.2024.05.006
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Abstract

The group of companies formed by Meta, Apple, Microsoft, Amazon and Alphabet have become a successful investment alternative in the U.S. stock market. In this context, the aim of this research is to provide investment strategies based on these companies to the challenge of how individual investors should allocate their funds in a portfolio and outperform benchmarks such as the SPY ETF or a naïve portfolio. To this end, we developed a total of 20 asset allocation models and constructed portfolios with different rebalancing periods between April 2014 and June 2022. Our overall results reveal that a combination of a short window length for estimating the parameters of the asset allocation models and a procedure that takes downside risk into account, more precisely the Lower Partial Moment approach, significantly outperforms the alternative of investing in the SPY ETF and also the naïve portfolio.

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大型科技股的资产配置模型:下局部矩和短窗口的重要性
由 Meta、苹果(Apple)、微软(Microsoft)、亚马逊(Amazon)和 Alphabet 组成的公司集团已成为美国股市中成功的投资选择。在此背景下,本研究旨在提供基于这些公司的投资策略,以应对个人投资者应如何在投资组合中分配资金并超越 SPY ETF 或天真投资组合等基准的挑战。为此,我们共开发了 20 个资产配置模型,并构建了 2014 年 4 月至 2022 年 6 月期间不同再平衡期的投资组合。我们的总体结果表明,采用短窗口期估算资产配置模型的参数,并将下行风险考虑在内,更准确地说,采用下偏矩量法,其结果明显优于投资于 SPY ETF 和天真投资组合。
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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