Asset Allocation via Machine Learning and Applications to Equity Portfolio Management

Yang, Qing; Hong, Zhenning; Tian, Ruyan; Ye, Tingting; Zhang, Liangliang

doi:10.2139/ssrn.3722621

Cited by 2 publications

(1 citation statement)

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“…The results suggest that the share of equities in strategic allocations tends to be rather underweight. The equity market liquidity ratio is impacted by several macroeconomic and structural factors [21] related to the microstructure of the capital market. The interaction of these factors impacts both the arbitrage between investor assets and the liquidation of the Casablanca Stock Exchange.…”

Section: Discussionmentioning

confidence: 99%

Optimization of equity allocations of institutional investors: study of Moroccan case

Bouchekourte

Hami

2022

Int. J. Simul. Multidisci. Des. Optim.

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Institutional investors normally define the market segments that present more opportunities for profitability based on their commitments, their financial and accounting situations and the regulations that govern the structure of their investments in equities, bonds, real estate and infrastructure. Their investment strategies consist of defining the allocation of their assets after having fixed the proportion to be invested in each segment. We will try through this work to estimate and optimize the parts of assets invested in shares of pension funds, insurance companies and UCITS (Undertakings for Collective Investments in Transferable Securities), according to their degree of integration into the Moroccan economy, weight of their assets in market capitalization and by the heterogeneity that characterizes their investment decisions on the capital market. Panel data are well suited to our analysis in the sense that they allow us to measure the impact of several actions (stimuli), alone or simultaneously, and the synergies (interactions) of data, which are numerous on investors and on market indicators on the financial market. The results obtained illustrate that the weight of equity investments in portfolios under management of institutional investors are impacted by the share of investors' equity portfolio in market capitalization and by the total assets of this category of investors compared to Morocco's GDP (Gross domestic product).

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Section: Discussionmentioning

confidence: 99%