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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 distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.535
Threshold uncertainty score0.999

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
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 teacher head, not a consensus.

Study designTheoretical or conceptual
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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