Asset value modelling and portfolio optimization for ETF markets

ETF 市场的资产价值建模和投资组合优化

• 批准号: 479467-2015
• 负责人: Makarov, Roman
• 金额: $ 1.81万
• 依托单位: Wilfrid Laurier University
• 依托单位国家: 加拿大
• 项目类别: Engage Grants Program
• 财政年份: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=580090
• 关键词: Asset; value; modelling; portfolio; optimization

An exchange-traded fund (ETF) is an investment fund traded on stock exchanges. ETFs are attractive investment instruments because of their low expense ratios, easy diversification, tax efficiency, transparency, and stock-like features, since ETFs can be bought or sold at any time during the trading day for their net asset values. Currently, there are more than 1,500 ETFs traded on US exchanges, and about 350 ETFs traded on Toronto Stock Exchange (TSX). Emerging Star Investment Group Inc. (ESIG) is a rapidly growing Waterloo-based firm that provides valuable service to individual and institutional investors, portfolio managers and financial advisors. The company's product has innovative features that allows its clients to diversify their investment over a broader range of funds. ESIG's speciality is investment in ETFs. The objective of this NSERC Engage project is to introduce recent achievements of Modern Portfolio Theory to ESIG and provide them with a toolbox of models and methods used for scenarios simulation and portfolio optimization. First, we compare the performance of different multi-factor stochastic models and identify key factors that are crucial for selection of a right model. Second, we solve static and dynamic portfolio optimization problems using verified models from the first stage. Project results will help company improve the quality of their service, attract new customers and grow their company by creating more jobs. Once fully commercialized, ESIG's software will be make a very important impact on performance of Canada's institutional investors, e.g. pension plans, that were recently hit by economic downturn. It will also improve wealth of individual investors by providing them sound, science-based advise. In the longer term, we hope that latest research achievements in quantitative finance will be adopted in practice and will become available to individual investors.

交易所交易基金（ETF）是在证券交易所交易的投资基金。 ETF 是有吸引力的投资工具，因为其费用比率低、易于分散投资、税收效率高、透明度高，并且具有类似股票的特征，因为 ETF 可以在交易日内随时以其资产净值进行买卖。目前，有超过 1,500 只 ETF 在美国交易所交易，约 350 只 ETF 在多伦多证券交易所 (TSX) 交易。 Emerging Star Investment Group Inc. (ESIG) 是一家快速发展的滑铁卢公司，为个人和机构投资者、投资组合经理和财务顾问提供有价值的服务。该公司的产品具有创新功能，使客户能够在更广泛的基金范围内实现投资多元化。 ESIG 的专长是 ETF 投资。 NSERC Engage 项目的目标是向 ESIG 介绍现代投资组合理论的最新成果，并为他们提供用于场景模拟和投资组合优化的模型和方法工具箱。首先，我们比较不同多因素随机模型的性能，并确定对于选择正确模型至关重要的关键因素。其次，我们使用第一阶段经过验证的模型解决静态和动态投资组合优化问题。项目成果将帮助公司提高服务质量、吸引新客户并通过创造更多就业机会来发展公司。一旦完全商业化，ESIG的软件将对加拿大机构投资者的业绩产生非常重要的影响，例如：养老金计划最近受到经济衰退的打击。它还将通过为个人投资者提供合理的、基于科学的建议来增加他们的财富。从长远来看，我们希望量化金融的最新研究成果能够落地到实践中，并为个人投资者所用。