论文标题
股票基金选择和最佳投资组合构建的新方法
The new methods for equity fund selection and optimal portfolio construction
论文作者
论文摘要
我们从新的角度重新考虑了经典的股票基金选择和投资组合建设问题，并提出了一个易于实施的框架，以解决实际投资中的问题。我们不是通过从大型股票或宏观因素中构建一个唯一的唯一投资组合而来的传统方式，而是展示了如何从共同基金最高持有量的较小股票中生产出长短的投资组合并产生令人印象深刻的结果。由于这些方法基于统计证据，因此我们需要密切监视模型有效性并准备维修策略。
We relook at the classic equity fund selection and portfolio construction problems from a new perspective and propose an easy-to-implement framework to tackle the problem in practical investment. Rather than the conventional way by constructing a long only portfolio from a big universe of stocks or macro factors, we show how to produce a long-short portfolio from a smaller pool of stocks from mutual fund top holdings and generate impressive results. As these methods are based on statistical evidence, we need closely monitoring the model validity, and prepare repair strategies.
