文献类型：期刊文献

英文题名：A clustering-based portfolio strategy incorporating momentum effect and market trend prediction

作者：Lu, Ya-Nan[1];Li, Sai-Ping[3];Zhong, Li-Xin[4];Jiang, Xiong-Fei[5];Ren, Fei[1,2]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[4]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Zhejiang, Peoples R China;[5]Ningbo Dahongying Univ, Coll Informat Engn, Ningbo 315175, Zhejiang, Peoples R China

年份：2018

卷号：117

起止页码：1

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20184105931603);WOS:【SSCI(收录号:WOS:000451743700001)，SCI-EXPANDED(收录号:WOS:000451743700001)】；

基金：This work was partially supported by the National Natural Science Foundation (Nos. 71131007, 71371165 and 71871094), Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (No. 17YJAZH067), Collegial Laboratory Project of Zhejiang Province (No. YB201628), Ningbo Natural Science Foundation (No. 2015A610160), and the Fundamental Research Funds for the Central Universities (2015).

语种：英文

外文关键词：Financial network; Cluster algorithm; Portfolio strategy; Momentum effect; Market trend prediction

摘要：The hierarchical clustering algorithm has been proved useful in portfolio investment, which is one of the hottest issues in finance. In our new portfolio strategy, central, peripheral and dispersed portfolios constructed from clusters detected using unweighted and weighted modularity are compared according to their past performances, and the optimal portfolio is used in the investment period only if the market index return predicted by the LR, WMA or BP models is positive to avoid losses when the market drops. Our strategy is tested using the daily data of Chinese A-share market from January 4, 2008 and December 31, 2016, and the average investment return during different moving investment periods and 200 repeated runs is calculated. We find that although incorporating dispersed portfolio into our strategy has no significant effect in raising the investment return, it shows a similar performance as the peripheral portfolio, and the strategy constructed using unweighted modularity generally outperforms its counterpart by using weighted modularity. In addition, the market trend prediction can refine the investment return of our strategy. In brief, the strategy constructed using the BP model and unweighted modularity has the best investment return, which also outperforms the Markowitz portfolio. (C) 2018 Elsevier Ltd. All rights reserved.