کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
476943 | 1446093 | 2011 | 9 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Portfolio symmetry and momentum Portfolio symmetry and momentum](/preview/png/476943.png)
This paper presents a novel theoretical framework to model the evolution of a dynamic portfolio (i.e., a portfolio whose weights vary over time), considering a given investment policy. The framework is based on graph theory and the quantum probability. Embedding the dynamics of a portfolio into a graph, each node of the graph representing a plausible portfolio, we provide the probabilities for a dynamic portfolio to lie on different nodes of the graph, characterizing its optimality in terms of returns. The framework embeds cross-sectional phenomena, such as the momentum effect, in stochastic processes, using portfolios instead of individual stocks. We apply our methodology to an investment policy similar to the momentum strategy of Jegadeesh and Titman (1993). We find that the strategy symmetry is a source of momentum.
Research Highlights
► This paper presents a novel theoretical framework to model the evolution of a dynamic portfolio for a given investment policy.
► The investment policy is modeled as a graph and its properties correspond to the graph properties.
► We find that, with a momentum investment strategy, these properties are a source of momentum effect.
Journal: European Journal of Operational Research - Volume 214, Issue 3, 1 November 2011, Pages 759–767