Cheng Zhao1, Shuyi Yang2, Chu Qin3, Jie Zhou4, Longxiang Chen5,*
CMC-Computers, Materials & Continua, Vol.75, No.1, pp. 477-491, 2023, DOI:10.32604/cmc.2023.034933
Abstract Rule-based portfolio construction strategies are rising as investment demand grows, and smart beta strategies are becoming a trend among institutional investors. Smart beta strategies have high transparency, low management costs, and better long-term performance, but are at the risk of severe short-term declines due to a lack of Risk Control tools. Although there are some methods to use historical volatility for Risk Control, it is still difficult to adapt to the rapid switch of market styles. How to strengthen the Risk Control management of the portfolio while maintaining the original advantages of smart beta has become a new issue of… More >
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