淡江大學機構典藏:Item 987654321/124301
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    题名: Synergy frontier of multi-factor stock selection model
    作者: Yeh, I-chen
    关键词: Synergy;Stock selection;Multi-factor model;Weighted scoring;Mixture design;Optimization
    日期: 2022-12-19
    上传时间: 2023-07-26 12:05:30 (UTC+8)
    摘要: The classical "efficiency frontier" emphasizes the combination of negatively correlated or low-correlated portfolios to reduce the diversifiable risk of the investment portfolio. While the "synergy frontier" focuses on combining stock selection factors or models with "synergy" to strengthen the ability to increase the return rate of the stock selection model. Therefore, to raise the return, the focus of the multi-factor model is to discover the synergy effects of stock-picking factors. To systematically discover the synergy of stock-picking factors, two profitability factors, ROE and ROC, and two value factors, P/B and P/S were chosen. Then stock picking models that express various styles were systematically generated by means of weighted scoring approach and mixture design. The polynomial regression analysis was employed to build the return and risk models. Then a set of optimal portfolios that offer the highest expected return for a set of various levels of risk can be generated through solving an optimization model. We used the S&P 500 constituent stocks as the stock selection pool. The results showed that (1) There are strong synergy effects of return between the two profitability factors, ROE and ROC, and the value factor, P/B. (2) The relations between factor weights and risk of portfolios are rather linear, which shows that there are no synergy effects of risk between profitability factors and value factors. (3) There is synergy rotation in stock market, and the momentum strategy can overcome the rotation phenomenon and significantly improve the investment performance.
    關聯: OPSEARCH 60,　p.445–480
    DOI: 10.1007/s12597-022-00615-y
    显示于类别:[土木工程學系暨研究所] 期刊論文

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