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Quantitative Investment Diversification Strategies via Various Risk Models

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  • Maysam Khodayari Gharanchaei
  • Prabhu Prasad Panda
  • Xilin Chen

Abstract

This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various risk models and for each model different investment strategies are tested. Out of sample tests are performed on a long-term horizon from 1970 until 2023.

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  • Maysam Khodayari Gharanchaei & Prabhu Prasad Panda & Xilin Chen, 2024. "Quantitative Investment Diversification Strategies via Various Risk Models," Papers 2407.01550, arXiv.org.
    • Handle: RePEc:arx:papers:2407.01550
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    References listed on IDEAS

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    Cited by:

    1. Maysam Khodayari Gharanchaei & Reza Babazadeh, 2024. "Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns," Papers 2409.14510, arXiv.org.

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