Kristoufek Ladislav
1] Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 110 00, Prague, Czech Republic, EU [2] Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 182 08, Prague, Czech Republic, EU.
Sci Rep. 2013;3:2713. doi: 10.1038/srep02713.
Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The diversification is based on an idea that popularity of a stock measured by search queries is correlated with the stock riskiness. We penalize the popular stocks by assigning them lower portfolio weights and we bring forward the less popular, or peripheral, stocks to decrease the total riskiness of the portfolio. Our results indicate that such strategy dominates both the benchmark index and the uniformly weighted portfolio both in-sample and out-of-sample.
投资组合多元化和主动风险管理是金融分析的重要组成部分，在全球金融危机期间及之后，这些部分变得更加关键（且受到质疑）。我们提出了一种利用谷歌趋势上搜索项信息进行投资组合多元化的新方法。这种多元化基于这样一种理念，即通过搜索查询衡量的股票受欢迎程度与股票风险相关。我们通过给受欢迎的股票分配较低的投资组合权重来惩罚它们，并提升不太受欢迎或边缘的股票，以降低投资组合的总体风险。我们的结果表明，这种策略在样本内和样本外均优于基准指数和等权重投资组合。
