How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios  

作　　者：Fernando Vega-Gámez Pablo J.Alonso-González 

机构地区：[1]Economics Department,Universidad de Alcalá,Plaza de La Victoria 2,28802,Alcaláde Henares,Madrid,Spain [2]EDM Gestión SGIIC,Partner-Director,Paseo de la Castellana 78,28046,Madrid,Spain

出　　处：《Financial Innovation》2024年第1期886-902,共17页金融创新(英文)

基　　金：Financial support was received from Grant TED2021-129316B-I00 funded by MCIN/AEI/10.13039/501100011033 as appropriate,by the“European Union NextGenerationEU/PRTR”;Grant PID2021-123592OB-I00 funded by MCIN/AEI/10.13059/501100011033 and,as appropriate,by“ERDF A way of making Europe”.

摘　　要：Strategic portfolios are asset combinations designed to achieve investor objectives.A unique feature of these investments is that portfolios must be rebalanced periodically to maintain the initially established structure.This paper introduces a methodology to estimate the probability of not exceeding a specific profitability target with this type of portfolio to determine if this kind of build portfolio makes obtaining certain profitability targets easy.Portfolios with a specific distribution of fixed-income and equity securities were randomly replicated and their performance was studied over different time horizons.Daily data from 2004 to 2021 was used.Since the sum of all asset weights invariably equals the unit,the original data were transformed using the compositional data methodology.With these transformed data,the probabilities were estimated for each analyzed portfolio.The study also performed a sensitivity analysis of the estimated probabilities,modifying the weight of specific assets in the portfolio.

关 键 词：Compositional data Investment horizons Logit models PROBABILITY Strategicportfolios 

分 类 号：F22[经济管理—国民经济]