Signed graphs for risk management
Modern portfolio theory suggests that investor can reduce their investment risk by selecting a basket of investment assets that has collectively lower risk than any individual assets. Selection of investment assets is based on the expected rate of return and an expected risk measure for the portfoli...
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Online Access: | http://hdl.handle.net/10356/40757 |
| _version_ | 1826121170485772288 |
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| author | Ang, Zhen Ming |
| author2 | Lim Meng Hiot |
| author_facet | Lim Meng Hiot Ang, Zhen Ming |
| author_sort | Ang, Zhen Ming |
| collection | NTU |
| description | Modern portfolio theory suggests that investor can reduce their investment risk by selecting a basket of investment assets that has collectively lower risk than any individual assets. Selection of investment assets is based on the expected rate of return and an expected risk measure for the portfolio and these are closely knitted to the degree of correlation between assets in the portfolio.
On a related matter, the notion of structural balance for signed graphs in the context of portfolio analysis involves the use of degree of correlation between the assets in the portfolio. Hence, our project first identifies balanced and unbalanced signed graphs in the context of investment portfolios. Trading strategy is then deduced based on the notion. Thereafter, back-testing on historical securities prices to investigate the profitability is carried out. The author has specifically design a program to perform the task of back-testing. |
| first_indexed | 2024-10-01T05:28:19Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/40757 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:28:19Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/407572023-07-07T15:48:42Z Signed graphs for risk management Ang, Zhen Ming Lim Meng Hiot School of Electrical and Electronic Engineering DRNTU::Engineering::Computer science and engineering::Data::Data structures Modern portfolio theory suggests that investor can reduce their investment risk by selecting a basket of investment assets that has collectively lower risk than any individual assets. Selection of investment assets is based on the expected rate of return and an expected risk measure for the portfolio and these are closely knitted to the degree of correlation between assets in the portfolio. On a related matter, the notion of structural balance for signed graphs in the context of portfolio analysis involves the use of degree of correlation between the assets in the portfolio. Hence, our project first identifies balanced and unbalanced signed graphs in the context of investment portfolios. Trading strategy is then deduced based on the notion. Thereafter, back-testing on historical securities prices to investigate the profitability is carried out. The author has specifically design a program to perform the task of back-testing. Bachelor of Engineering 2010-06-21T07:13:06Z 2010-06-21T07:13:06Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/40757 en Nanyang Technological University 62 p. application/pdf |
| spellingShingle | DRNTU::Engineering::Computer science and engineering::Data::Data structures Ang, Zhen Ming Signed graphs for risk management |
| title | Signed graphs for risk management |
| title_full | Signed graphs for risk management |
| title_fullStr | Signed graphs for risk management |
| title_full_unstemmed | Signed graphs for risk management |
| title_short | Signed graphs for risk management |
| title_sort | signed graphs for risk management |
| topic | DRNTU::Engineering::Computer science and engineering::Data::Data structures |
| url | http://hdl.handle.net/10356/40757 |
| work_keys_str_mv | AT angzhenming signedgraphsforriskmanagement |