Empirical study on stock-bond integrated model

被引：0

作者：

Yu, Mei ^{[1
]}

Yang, Yang ^{[1
]}

Wang, Shou-Yang ^{[2
]}

机构：

[1] School of Finance and Banking, University of International Business and Economics, Beijing 100029, China

[2] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2010年 / 30卷 / 07期

关键词：

Commerce; -; Investments;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, the authors set up a stock-bond integrated model by employing MV and MAD models in frictionless market and frictional market. The real data in China's stock market and bond market were used to show the performance of these investment models. It is found that the optimal strategy derived from the stock-bond integrated model has good results in both cases.

引用

页码：1190 / 1199

共 50 条

[1] An integrated stock-bond portfolio optimization model
Konno, H
Kobayashi, K
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1997, 21 (8-9): : 1427 - 1444
[2] Empirical studies on internationally diversified investment using a stock-bond integrated model
Komuro, Shusuke
Konno, Hiroshi
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2005, 1 (04) : 433 - 442
[3] Empirical Evidence on the Stock-Bond Correlation
Molenaar, Roderick
Senechal, Edouard
Swinkels, Laurens
Wang, Zhenping
FINANCIAL ANALYSTS JOURNAL, 2024, 80 (03) : 17 - 36
[4] Integrated stock-bond portfolio management
Pang, Xiaochuan
Wu, Shuping
Zhu, Shushang
JOURNAL OF INVESTMENT STRATEGIES, 2023, 12 (03): : 23 - 51
[5] Studies on a general stock-bond integrated portfolio optimization model
Kato, Koji
Konno, Hiroshi
COMPUTATIONAL MANAGEMENT SCIENCE, 2007, 4 (01) : 41 - 57
[6] The stock-bond correlation
Johnson, Nic
Naik, Vasant
Page, Sebastien
Pedersen, Niels
Sapra, Steve
JOURNAL OF INVESTMENT STRATEGIES, 2014, 4 (01): : 3 - 18
[7] The Stock-Bond Correlation
Czasonis, Megan
Kritzman, Mark
Turkington, David
JOURNAL OF PORTFOLIO MANAGEMENT, 2021, 47 (03): : 67 - 76
[8] The Stock-Bond Chimera
Lehmann, Richard
FORBES, 2009, 183 (10): : 120 - 120
[9] Flights and contagion-An empirical analysis of stock-bond correlations
Baur, Dirk G.
Lucey, Brian M.
JOURNAL OF FINANCIAL STABILITY, 2009, 5 (04) : 339 - 352
[10] Trends in stock-bond correlations
Ohmi, Harumi
Okimoto, Tatsuyoshi
APPLIED ECONOMICS, 2016, 48 (06) : 536 - 552

← 1 2 3 4 5 →