Finance Research Letters ( IF 7.4 ) Pub Date : 2021-04-05 , DOI: 10.1016/j.frl.2021.102044 Silvia Mayoral , David Moreno , Abalfazl Zareei
This paper develops a useful tool based on hedging networks that allows portfolio managers to allocate capital so as to build portfolios with low risk. We apply a popular measure from the network literature, the Katz centrality measure, to summarize how a security relates to other securities in the network (hedging relations) and to itself (unhedgeable component). We generate empirical evidence that picking stocks with the lowest value of the Katz centrality measure leads to portfolios with a low variance. We show that these portfolios achieve lower variance than other classical portfolio strategies, both in-sample and out-of-sample.
中文翻译:
使用对冲网络来最小化投资组合风险
本文开发了一种基于对冲网络的有用工具,该工具允许投资组合经理分配资金以构建低风险的投资组合。我们应用网络文献中的一种流行度量,即 Katz 中心性度量,来总结证券如何与网络中的其他证券(对冲关系)和自身(不可对冲组件)相关联。我们生成的经验证据表明,选择具有最低 Katz 中心性度量值的股票会导致投资组合具有低方差。我们表明,这些投资组合在样本内和样本外都比其他经典投资组合策略实现了更低的方差。