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Record W4405334542 · doi:10.1051/shsconf/202420801027

Analyzing Optimal Portfolios of Eleven Assets under Different Constraints

2024· article· en· W4405334542 on OpenAlexaff
Xinyuan Li

Bibliographic record

VenueSHS Web of Conferences · 2024
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Markets and Investment Strategies
Canadian institutionsQueen's University
Fundersnot available
KeywordsComputer scienceBusiness

Abstract

fetched live from OpenAlex

Portfolios, which allocate investor capital to different investments, are a common risk management strategy. It aims to spread investment risk using diversification. The purpose of this paper is to allocate assets to stocks in the technology sector, consumer sector, and pharmaceutical sector. Stocks of SPX500 and ten companies are selected, and the Yahoo Finance database in Python is utilized to export the historical data, and the knowledge of statistics is applied to calculate the basic values of the stocks. For example, data such as annualized average return, annualized standard deviation, and alpha. These data are utilized to obtain the correlation coefficients between eleven assets and to plot the Capital Allocation Line (hereinafter referred to as CAL), efficient frontier and inefficient frontier images under different constraints. The results show that PG’s asset share is the highest among the five different constraints, both in the minimum variance case and in the maximum Sharpe ratio case. After imposing constraints, the portfolio’s return at the same risk decreases.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.004
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.004
Threshold uncertainty score0.008

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0010.004
Meta-epidemiology (narrow)0.0010.000
Meta-epidemiology (broad)0.0010.001
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0010.001
Open science0.0000.000
Research integrity0.0010.000
Insufficient payload (model declined to judge)0.0020.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.038
GPT teacher head0.249
Teacher spread0.211 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2024
Admission routes1
Has abstractyes

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