A1177
Title: Communication-efficient distributed portfolio selection strategy
Authors: Hongmei Lin - Shanghai University of International Business and Economics (China) [presenting]
Abstract: Modern portfolio theory is one of the most influential basic theories in the field of financial investment. The development of successful portfolio selection strategies requires that the strategies have good out-of-sample performance with substantial rewards, provide diversification benefits with controllable risk, and are easy to operate and maintain. However, as the global financial market expands, a large number of different asset data are often collected from different sources with different times and locations, and the existing portfolio strategy cannot deal with this situation. A new estimation approach is provided for the portfolio selection strategy in a distributed system, and the theoretical results are established. Monte Carlo simulations are further applied to evaluate its finite sample performance, and the usefulness of the algorithm is also illustrated through the NYSE datasets.
