TY - GEN
T1 - Dynamic portfolio management of strategic investment in Chinese banking sector
AU - Yang, Jie
PY - 2010
Y1 - 2010
N2 - The paper makes analysis of the strategic investment risks towards banking shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Three stocks from banking fields, including state owned, joint stock, and city commercial banks, are used to form the portfolio and get the optimal weights dynamics from 2007 to 2009. It's found that the optimal investment weight of city bank rises during the sample period. The joint stock bank slightly fluctuates, while state-owned bank has obvious down turn. The results offer investors guide towards making decisions in banking sector investment to achieve the minimum risks.
AB - The paper makes analysis of the strategic investment risks towards banking shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Three stocks from banking fields, including state owned, joint stock, and city commercial banks, are used to form the portfolio and get the optimal weights dynamics from 2007 to 2009. It's found that the optimal investment weight of city bank rises during the sample period. The joint stock bank slightly fluctuates, while state-owned bank has obvious down turn. The results offer investors guide towards making decisions in banking sector investment to achieve the minimum risks.
KW - Bank
KW - Optimization
KW - Risk
KW - Simulation
KW - Strategic investment
UR - https://www.scopus.com/pages/publications/78649393901
U2 - 10.1109/ICMSS.2010.5575935
DO - 10.1109/ICMSS.2010.5575935
M3 - 会议稿件
AN - SCOPUS:78649393901
SN - 9781424453269
T3 - 2010 International Conference on Management and Service Science, MASS 2010
BT - 2010 International Conference on Management and Service Science, MASS 2010
T2 - 2010 International Conference on Management and Service Science, MASS 2010
Y2 - 24 August 2010 through 26 August 2010
ER -