Every portfolio can be partitioned into multiple asset groups defined by asset classes, sectors, styles, or other features. A cardinality-constrained portfolio caps the number of stocks to be traded within each of these groups. These limitations arise from real-world scenarios faced by fund managers who seek to satisfy certain investment mandates or achieve their asset allocation objectives.
Day: October 27, 2022
In the US market, institutional investors own or manage a major share of public equities. For many institutional investors, orders to buy or sell stocks can be very large. Such orders are thought to be potentially costly to implement, as they create substantial immediate demand/supply and possible adverse price effects.
Market observations and empirical studies have shown that asset prices are often driven by multiscale factors, ranging from long-term economic cycles to rapid fluctuations in the short term. This suggests that financial time series are potentially embedded with different timescales.
Gold is often viewed as a safe haven asset or a hedge against market turmoils, currency depreciation, and other economic or political events. For instance, during the credit crisis, the Dow and S&P 500 declined by about 20% while gold prices rose from $850 to $1,100 per troy ounce. And then this year, S&P500 has experienced a sharp drop before returning to pre-COVID level lately. Meanwhile, gold ETF (GLD) has gained more than 25% since Feb 2020.
