When the portfolio is regarded as a moving point in the “risk-return” plane, we can use the running track of the portfolio in the plane to describe its past historical performance and future trend. The interaction effect between the two portfolios can also be seen as “gravitation”. The theoretical analysis shows that when we select the proper alignment and focus point, the running track of the moving point is conic section, due to the common effect by the focus point “gravitation” attraction and its velocity. The empirical result is acceptable. According to the eccentricities classification of 66 portfolios, the classification result shows that most of stock funds and hybrid funds are elliptical funds, the monetary fund are parabolic funds, most of bond funds are hyperbolic funds. The upper branch of parabola can not fit all the scattered points very well, in need of classification fitting. We use Sharpe ratios to evaluate the performance of the portfolios. The result shows that Sharpe ratios is positively correlated with the eccentricities. Finally, according to physics, the “gravitational constant” can be determined by using the velocity rate formula when the elliptical fund runs to the top of the elliptic orbit. The gravitational constant G0 is 1.72×10-14 (λ-3·week-2·yuan-1).
SU Zhi-peng.
Research on the running track and force analysis of portfolio. Journal of Guangzhou University(Natural Science Edition). 2018, 17(3): 17-26
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