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5 juin 2023
- handle: 10670/1.vgyqzj
- hal: hal-04537013
Mots-clés
Genetic Algorithm, Portfolio holdings estimation, Mutual funds, Inverse problem C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G23 - Non-bank Financial Institutions • Financial Instruments • Institutional InvestorsSujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management PortfolioCiter ce document
Jérémy Bellina et al., « Discovering mutual funds' holdings between disclosure dates », HAL-SHS : droit et gestion, ID : 10670/1.vgyqzj
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Résumé
Mutual funds are subject to regulations that require them to periodicallydisclose their portfolio holdings. Periods without information canbe detrimental to investors as the exact risk and performance cannot beassessed and some internal manipulations can be performed in order tobeautify the disclosed holdings. In this paper, we aim to create a methodthat can retrieve the exact portfolio holdings of a mutual fund on a dailybasis using only publicly available data. We have developed two efficientmethods, the rolling window with Sequential Oscillating Selection and therolling window with Genetic Algorithm. In a limited investment universe,the two methods are able to retrieve the exact holdings of a portfolio andthe voluntary changes in the portfolio composition, under the conditionof a maximum number of voluntary changes in a given period. In addition,these methods allow us to find the exact dates on which the managerchanged the portfolio.