Best portfolio management strategies for synthetic and real assets

Abstract

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential equations, stochastic calculus and advanced statistics. In this paper, using a set of tools from the probability theory, various strategies of building financial portfolios are analysed in different market conditions. A special attention is given to several realisations of a so called balanced portfolio, which is rooted in the natural "buy-low-sell-high" principle. Results show that there is no universal strategy, because they perform differently in different circumstances (e.g. for varying transaction costs). Moreover, the planned time of investment may also have a significant impact on the profitability of certain strategies. All methods have been tested with both simulated trajectories and real data from the Polish stock market.

Modeling of Time Delayed Processes in Business Economics

“…Portfolio optimization is a fundamental question of all investors purchasing shares. In their paper, (Gruszka & Szwabiński, 2020) model stategies of building financial portfolios in various market conditions using a set of tools from the probability theory. In their publication, (D'Albis & Augeraud-Véron, 2009) analyse the dynamic behaviour of capital growth rate using a continuous trading model.…”

Modeling the portfolio structure of a project-oriented organization based on an entropy concept

“…Очевидно, что в портфель проектов должны попасть только те проекты, которые приносят наибольшую пользу, удовлетворяют ресурсным ограничениям и соответствуют стратегическим целям организации. При этом, многие исследователи отмечают [5,6], что важно при формировании портфеля отбирать проекты не по одному критерию эффективности, а по достаточно большому набору параметров: финансовая эффективность, общественная значимость и т. д. Работы [7,8] Таким образом, результаты анализа позволяют сделать вывод о том, что в современных работах отсутствуют исследования, учитывающие влияние энтропии на устойчивость и ценность организации.…”

Advanced Strategies of Portfolio Management in the Heston Market Model

“…In most part of this paper, we will be operating on terms and notions which have been introduced in our previous article [13]. However, we will repeat some of the most crucial concepts here, along with their definitions, to make this paper easier to understand for a reader.…”

“…The authors looked at strategies based mainly on a cyclic investor's activity called portfolio rebalancing. We broadened their analysis in our previous paper [13] as well as applied it to some real data from the Polish stock market. In this paper, we are going to extend the strategies presented therein by additional factors that may be crucial while making investment decisions: portfolio diversification and inclusion of cash in an investment portfolio.…”

“…To this end, we introduce our own portfolio management strategies that incorporate and utilise those signals. In contrast to both of previous works mentioned [12,13], here we will use the Heston model [14] of a market to generate synthetic asset data as it offers more flexibility than GBM and is more realistic as well.…”