Title :
Dynamic Portfolio Management of Strategic Investment in Chinese Banking Sector
Author_Institution :
Econ. & Manage. Sch., Beihang Univ., Beijing, China
Abstract :
The paper makes analysis of the strategic investment risks towards banking shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Three stocks from banking fields, including state owned, joint stock, and city commercial banks, are used to form the portfolio and get the optimal weights dynamics from 2007 to 2009. It´s found that the optimal investment weight of city bank rises during the sample period. The joint stock bank slightly fluctuates, while state-owned bank has obvious down turn. The results offer investors guide towards making decisions in banking sector investment to achieve the minimum risks.
Keywords :
Monte Carlo methods; banking; decision making; investment; risk management; stock markets; Chinese banking sector; Chinese stock market; Markowitz mean-variance model; Monte Carlo simulation; city commercial bank; decision making; dynamic portfolio management; joint stock; state-owned bank; strategic investment risk; Banking; Biological system modeling; Cities and towns; Investments; Joints; Portfolios;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5575935
