Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Identification of Optimal Risky Portfolios for Hedge Fund

Authors
Runsheng Rong1, *, Yongwei Yang2, Mengru He3, Dingyin Hu4, Zhenting Gu5
1School of Computer Science and Mathematics, Arcadia University, Glenside, PA 19038, USA
2San Domenico School, San Anselmo, CA, 94960, USA,yyang22@sandomenico.org
3School of Mathematics and Statistics, Miami University, Oxford, OH, 45056, USA,hem15@miamioh.edu
4Tung Wah senior High School, Dongguan, Guangdong, 523000, China,2197068459@qq.com
5Zibo Experimental High School International Department, Zibo, Shandong, 255000, China,2958868741@qq.com
Corresponding Author
Runsheng Rong
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.433How to use a DOI?
Keywords
hedge fund; strategy; optimal risky portfolio; 5-fold cross-validation
Abstract

The hedge fund market, stock market and bond market all have high risks. The purpose of our project is to build the optimal risky portfolio consisting of ten different strategies (which includes Arbitrage, CTA/Managed Futures etc.) to diversify risk and gain a high return, and we also conducted a 5-fold cross-validation test to validate if our method works accurately for all the periods. Using more strategies can help us carry out comprehensive analysis on different situations, periods and types of investment portfolio, so as to disperse risks and obtain high returns, also, ensure the diversity of portfolio and a lower risk.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.433How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

risenwbib
TY  - CONF
AU  - Runsheng Rong
AU  - Yongwei Yang
AU  - Mengru He
AU  - Dingyin Hu
AU  - Zhenting Gu
PY  - 2021
DA  - 2021/12/15
TI  - Identification of Optimal Risky Portfolios for Hedge Fund
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 2665
EP  - 2669
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.433
DO  - 10.2991/assehr.k.211209.433
ID  - Rong2021
ER  -