Implicit government guarantees and the externality of portfolio diversification: A complex network approach

Niu, Xiaojian; Niu, Xiaoli; Wu, Kexing

doi:10.1016/j.physa.2021.125908

Cited by 3 publications

(1 citation statement)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Network representation of complex financial markets offers a profound understanding of the underlying processes in the economic system, enhancing the information available to decision-makers. Analyzing stock market dynamics through network analysis can yield valuable insights and sound indicators for portfolio management (Battiston et al, 2016 ; Niu et al, 2021 ). The pioneering work on representing stocks as networks was published by Mantegna R ( 1999 ) where an MST was constructed based on the correlation among the stock prices for the DJIA and S&P 500 indices.…”

Section: Artificial Intelligence Approaches For Signal Generationmentioning

confidence: 99%

Enhancing portfolio management using artificial intelligence: literature review

Sutiene,

Schwendner,

Sipos

et al. 2024

Front. Artif. Intell.

View full text Add to dashboard Cite

Building an investment portfolio is a problem that numerous researchers have addressed for many years. The key goal has always been to balance risk and reward by optimally allocating assets such as stocks, bonds, and cash. In general, the portfolio management process is based on three steps: planning, execution, and feedback, each of which has its objectives and methods to be employed. Starting from Markowitz's mean-variance portfolio theory, different frameworks have been widely accepted, which considerably renewed how asset allocation is being solved. Recent advances in artificial intelligence provide methodological and technological capabilities to solve highly complex problems, and investment portfolio is no exception. For this reason, the paper reviews the current state-of-the-art approaches by answering the core question of how artificial intelligence is transforming portfolio management steps. Moreover, as the use of artificial intelligence in finance is challenged by transparency, fairness and explainability requirements, the case study of post-hoc explanations for asset allocation is demonstrated. Finally, we discuss recent regulatory developments in the European investment business and highlight specific aspects of this business where explainable artificial intelligence could advance transparency of the investment process.

show abstract

Section: Artificial Intelligence Approaches For Signal Generationmentioning

confidence: 99%

Enhancing portfolio management using artificial intelligence: literature review

Sutiene,

Schwendner,

Sipos

et al. 2024

Front. Artif. Intell.

View full text Add to dashboard Cite

show abstract

Trade policy uncertainty and corporate innovation: evidence from resource dependence perspective

Xia

Xie

2023

Technology Analysis & Strategic Management

View full text Add to dashboard Cite

Arbitrage outcome between conventional and Islamic finance of yield and forward rates in bond market

Mohd Isa,

Suppiah

2024

JIABR

View full text Add to dashboard Cite

Purpose In this research, arbitrage opportunity is tested between the yield rates computed by the NSS model, and the computed forward rates between conventional and Islamic finance to see any arbitrage opportunity. The research questions are the conventional and Islamic finance yields at the same level and equal to each other to avoid arbitrage? Whether conventional and Islamic forward rates differ significantly and thus create any arbitrage opportunity. This study aims to find the presence or absence of arbitrage between conventional and Islamic finance yield rates. Design/methodology/approach The NSS model is the latest model in calculating yield and forward rates. In the method the error level is minimized so expected yield rate and given yield rate both converged (Vahidin and Anastasios, 2020). When they converged it gives the researchers all six months’ yield rates. For the Nelson Siegal method, all the six months’ yield rates are available and these yield rates can be used to compute the forward rates. Findings The authors concluded there is a significant difference between the conventional yield rate and the Islamic yield rate. It suggests that because there are significant differences, its suggest arbitrage is possible. So anyone interested in making a guaranteed profit. The conventional yield rates are lower; hence, anyone can borrow from the conventional finance system and invest the money in the Islamic financial system because investments are getting higher rates of income in the form of yield rate in Islamic Finance. So, one can make money because of this difference. Statistically, it is possible to make money, but practically, the authors observed the difference, however it is very meager. The arbitrage opportunity between Islamic finance and conventional finance will not affect the economy because the significant difference is too small. The disturbance in the arbitrage opportunity due to the values is very meager and insignificant. Research limitations/implications This research does not address the derivative contracts’ role in risk management; future researchers could take up this as another research. Practical implications This research will be beneficial for financial institutions, especially institutional investors. Besides, this research will help the regulators and investment bankers in assisting where and future losses especially bond portfolios in conventional finance and Islamic finance. This study will also contribute and help the asset manager of mutual funds in the mutual fund industries. Social implications In effect, this research will strengthen the financial system, capital market and bond market, derivative contracts such as options contracts, futures contracts, swap contracts and forward contracts will use computed forward rates for assessing future losses (value at risk [VaR]) and to hedge them (Balakrishnan, 2020). Originality/value As this topic is rarely studied it will increase the literature present in this domain.

show abstract

Implicit government guarantees and the externality of portfolio diversification: A complex network approach

Cited by 3 publications

References 40 publications

Enhancing portfolio management using artificial intelligence: literature review

Enhancing portfolio management using artificial intelligence: literature review

Trade policy uncertainty and corporate innovation: evidence from resource dependence perspective

Arbitrage outcome between conventional and Islamic finance of yield and forward rates in bond market

Contact Info

Product

Resources

About