Asset value modelling and portfolio optimization for ETF markets

交易所交易基金（ETF）是一种在证券交易所交易的投资基金。etf是有吸引力的投资工具，因为它们的费用率低，易于分散，税收效率，透明度和类似股票的特征，因为etf可以在交易日的任何时间以其净资产价值买入或卖出。目前，在美国交易所交易的etf超过1500只，在多伦多证券交易所（TSX）交易的etf约350只。Emerging Star Investment Group Inc. （ESIG）是一家快速发展的公司，总部位于滑铁卢，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，允许客户在更广泛的基金范围内分散投资。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，并为他们提供用于情景模拟和投资组合优化的模型和方法工具箱。首先，我们比较了不同多因素随机模型的性能，并确定了对选择正确模型至关重要的关键因素。其次，我们使用第一阶段的验证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，例如最近受到经济衰退打击的养老金计划。它还将为个人投资者提供合理、科学的建议，从而提高他们的财富。从长远来看，我们希望量化金融的最新研究成果能够在实践中得到应用，并为个人投资者提供服务。

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.