Optimization of Investment Portfolios of Chinese Commodity Futures Market Based on Complex Networks
Social Science Research Network(2023)
摘要
Futures trading in developing countries is now attracting more attention since investors may easily generate more excess return compared to the markets in developed countries, especially in Chinese market. In this paper, we analyzed the relationship between the centrality of commodity in the Chinese commodity futures market network and the optimal weight of each commodity in a portfolio, empirically examined the market systemic factors and commodity idiosyncratic factors that affect the centrality of commodity, and evaluated the effect of network structure on the optimization of commodity portfolio selection under the mean-variance framework. We found that the commodities with high network centrality are often related to industrial products with high volatility and small portfolio weights. We put forward a kind of commodity futures investment strategy based on this network and results showed that cumulative yield is better than other benchmark portfolios. The main contribution of this paper is to apply complex network theory to optimize futures portfolio selection by establishing the relationship between portfolio weight and commodity centrality in Chinese market, which is still under explored.
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关键词
complex network,optimal commodity portfolio,network centrality
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