Abstract
The determination of weights and the measurement of risk have been the core problems of portfolio optimization. In this paper, we propose the improved Quantum Beetle Antennae Search (IQBAS) algorithm for solve the first problem. Moreover, we use the GAS-MIDAS-Copula model to solve the second problem. Meanwhile, we combine both methods for portfolio optimization. Using a 5-min high-frequency returns covering ten sectors in the Shanghai Stock Exchange from September 1, 2019 to September 1, 2022, we find that the GAS-MIDAS-Copula model is very effective in describing the portfolio distribution and interdependence structure. Also, for different confidence levels and different optimization objectives, the IQBAS algorithm outperforms other popular optimization methods. In addition, when constructing a portfolio during the COVID-19 epidemic, China’s Medical industry should receive more weight, while China’s Information and Telecom industries should receive less. Our findings are informative on how to better invest during major public health emergencies.
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Notes
OFV refers to the objective function value.
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We would like to thank the financial support from the Southwest University of Science and Technology Doctoral Research Fund (Grant No. 22sx7111).
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Wei, S., Luo, P., Song, J. et al. Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. Comput Econ (2024). https://doi.org/10.1007/s10614-024-10621-5
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DOI: https://doi.org/10.1007/s10614-024-10621-5