Project CEMAPRE internal
| Title | Frontier Portfolio Management: Digital Assets, ETF Innovation, and China's Market Dynamics |
| Participants | Lucas Firmino, Raquel Gaspar (Principal Investigator), Yinong Niu, Inês Reis, Hyeinduk Sim |
| Summary | This 12-month project investigates three critical frontiers in modern portfolio management: digital assets, exchange-traded funds (ETFs), and the unique Chinese equity market. First, it will assess the market efficiency and diversification potential of major cryptoassets (like Bitcoin) to determine their viability in traditional portfolios. Second, it will study the drivers of massive capital inflows into ETFs and develop advanced, alternative tracking techniques to improve performance. Third, it will analyze the specific structural and behavioral features that differentiate China's stock markets (Shanghai, Shenzhen) from global counterparts, focusing on regulatory impacts and retail investor influence. The project also aims to develop enhanced risk assessment models, including robust Value-at-Risk and Expected Shortfall measures for mixed-asset portfolios, and explore the application of actuarial loss aggregation methods to financial market risk. The goal is to produce actionable insights and innovative methodologies for navigating today’s complex investment landscape, bridging gaps between new asset classes, evolving financial products, and distinctive emerging markets. |