文献类型：期刊文献

英文题名：Dynamic Portfolio Strategy Using Clustering Approach

作者：Ren, Fei[1,2];Lu, Ya-Nan[1];Li, Sai-Ping[3];Jiang, Xiong-Fei[4];Zhong, Li-Xin[5];Qiu, Tian[6]

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]Ningbo Dahongying Univ, Coll Informat Engn, Ningbo 315175, Zhejiang, Peoples R China;[5]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Zhejiang, Peoples R China;[6]Nanchang Hangkong Univ, Sch Informat Engn, Nanchang 330063, Jiangxi, Peoples R China

年份：2017

卷号：12

期号：1

外文期刊名：PLOS ONE

收录：;WOS:【SSCI(收录号:WOS:000396211400070)，SCI-EXPANDED(收录号:WOS:000396211400070)】；

基金：This work was partially supported by the National Natural Science Foundation (Nos. 10905023, 71131007, 71371165, and 11501199), Fok Ying Tong Education Foundation Grant (No. 132013), Ningbo Natural Science Foundation (No. 2015A610160), and the Fundamental Research Funds for the Central Universities (2015). Fei Ren designed the study and performed the analysis. Sai-Ping Li prepared the manuscript.

语种：英文

摘要：The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen AShare market.