Correction: Li et al. Quantitative Evaluation of China’s Pork Industry Policy: A PMC Index Model Approach. Agriculture 2021, 11, 86

The authors found some omissions and errors in the original paper [...]

A comparison of minimum variance and maximum Sharpe ratio portfolios for mainstream investors

PurposeMotivated by the recent theoretical rehabilitation of mean-variance analysis, the authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio (MaxSR) investment weights are preferable in practical portfolio formation.Design/methodology/approachThe authors answer this question with a focus on mainstream investors which can be modeled by a preference for simple portfolio optimization techniques, a tendency to cling to past asset characteristics and a strong interest in index products. Specifically, in a rolling-window approach, the study compares the out-of-sample performance of MinVar and MaxSR portfolios in two asset universes covering multiple asset classes (via investable indices and their subindices) and for two popular input estimation methods (full covariance and single-index model).FindingsThe authors find that, regardless of the setting, there is no statistically significant difference between MinVar and MaxSR portfolio performance. Thus, the choice of approach does not matter for mainstream investors. In addition, the analysis reveals that, contrary to previous research, using a single-index model does not necessarily improve out-of-sample Sharpe ratios.Originality/valueThe study is the first to provide an in-depth comparison of MinVar and MaxSR returns which considers (1) multiple asset classes, (2) a single-index model and (3) state-of-the-art bootstrap performance tests.

Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.

Discussion on a big data information processing model: Taking the fiscal quality evaluation of the Pearl River Delta as an example

Under the background of vigorously promoting the high-quality economic development model in China, this paper proposes a Dynamic Double Index model to evaluate the fiscal output quality of cities in the Pearl River Delta. The empirical results show that Shenzhen, Guangzhou are at a high quality level, while Zhuhai, Foshan, Huizhou, Zhongshan and Dongguan are at a low quality level. This empirical result is consistent with the fact that Shenzhen has industrial tax source advantages, Guangzhou has consumption tax source advantages, but Zhuhai, Foshan, Huizhou Zhongshan and Dongguan do not have advantages. At the same time, the consistency also proves that the Dynamic Double Index model has accurate measurement function and can be used as a powerful tool to deal with big data information problems.

Analysis of LQ45 share portfolio on Quadrimester I during the Covid-19 pandemic

Investment is a way of getting profit by investing a certain amount of capital in certain assets. Investing in shares in LQ45 amid the Covid-19 pandemic is one way to benefit when many sectors are experiencing an economic downturn. The purpose of this study was to analyze the differences in the optimal portfolio of LQ45 stocks in the 2019 and 2020 quadrimester I. The samples of this study were companies listed in LQ45. This research method uses the treynor index and t-test. The results of this study are that there is a significant difference in the optimal portfolio using the treynor index model between quadrimester I 2019 and 2020 on LQ45 stocks, this is influenced by conditions amid the Covid-19 pandemic which affects all sectors. The highest optimal number of purchases in the month April 2020 is occupied by companies with the KLBF code, this is an advantage that the company gets during the Covid-19 pandemic. Future research is expected to be able to allocate investment funds optimally for each share to achieve optimal profits. The investor is expected to be able to estimate in advance the stocks that will be selected for their investment.