英文标题：
《Best Portfolio Management Strategies For Synthetic and Real Assets》
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作者：
Jaros{\\l}aw Gruszka, Janusz Szwabi\\\'nski
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最新提交年份：
2019
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英文摘要：
  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.
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中文摘要：
投资组合管理是一个古老而广为人知的问题，涉及金融数学、金融工程、计量经济学和经济物理学等多个领域。迄今为止，人们使用了多种不同的概念和理论来描述处理金融资产的方法，包括微分方程、随机微积分和高级统计学。本文利用概率论中的一套工具，分析了在不同市场条件下构建金融投资组合的各种策略。我们特别关注所谓平衡投资组合的几种实现，这种投资组合植根于自然的“低买高卖”原则。结果表明，没有通用的策略，因为它们在不同的情况下表现不同（例如，不同的交易成本）。此外，计划投资时间也可能对某些战略的盈利能力产生重大影响。所有的方法都用波兰股市的模拟轨迹和真实数据进行了测试。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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