The 3rd International Conference on Digitalization and Management Innovation (DMI2024)

Abstract: Due to financial constraints and others, individual investors are unable to invest in a large number of stocks to achieve full diversification. How to construct a portfolio with a comparatively satisfactory risk-adjusted return becomes more important. In constructing a portfolio of stocks, investors often take stock price momentum into consideration. Recently it is further recommended to incorporate the historical price path into momentum techniques to improve the portfolio out-of-sample performance. In this study, a risk-managed momentum scheme, which ranks stocks based on not only the recent price momentum but also the momentum over the historical price, is proposed to select top stocks for portfolio construction. The integrated criteria for stock selection allows for constructing a concentrated risk-adjusted portfolio that on average outperforms the traditional momentum approaches with a more than doubled Sharpe ratio.

Biography: Changyong Zhang earned a Bachelor of Engineering in Mechanical Engineering and Automation from South China University of Technology, a Master of Science in High Performance Computation for Engineered Systems from National University of Singapore (Singapore-MIT Alliance), a Master of Philosophy in Network Planning and Optimisation from Imperial College London, and a Doctor of Philosophy in Applied Mathematics from the University of Southern California.
Prior to joining Curtin University Malaysia in 2015 as an associate professor in the Department of Finance and Banking, Changyong Zhang had been affiliated with Xi’an Jiaotong-Liverpool University as a lecturer in the Department of Mathematical Sciences, the University of Leoben as a postdoctoral researcher in the Department of Mathematics and Information Technology, and Uppsala University as a postdoctoral researcher in the Department of Mathematics.
Along with teaching experience in Finance and Mathematics related courses, Changyong Zhang’s research interests lie in interdisciplinary fields, including Financial Economics, Operations Research, and Stochastic Analysis, with papers being published in a number of ABDC-ranked and WoS-indexed journals.