Dynamic Portfolio Management of Strategic Investment in Chinese Banking Sector

Author

Yang, Jie

Author_Institution

Econ. & Manage. Sch., Beihang Univ., Beijing, China

fYear

2010

fDate

24-26 Aug. 2010

Firstpage

1

Lastpage

4

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICMSS.2010.5575935

Filename

5575935