Analysis of literature sources

[Cincinnatik]

During the description of the justification of macroeconomic indicators, sources and articles on the topic of forecasting ETFs returns were used.

They will be given below:

1. Flannery M. J., Protopapadakis A. A. Macroeconomic factors do influence aggregate stock returns //The review of financial studies. – 2002. – Т. 15. – №. 3. – С. 751-782.
2. Long H. et al. Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns //Journal of Financial Markets. – 2022. – С. 100736. 3.US Bureau of Economic Research "Technical Note" [website]. URL: https://www.bea.gov/resources/methodologies
3. Investopedia "4 Key Indicators That Move The Markets" [website]. URL:https://www.investopedia.com/articles/fundamental-analysis/10/indicators-that-move-the-market.asp
4. Investopedia "Top 10 U.S. Economic Indicators" [website]. URL:https://www.investopedia.com/articles/personal-finance/020215/top-ten-us-economic-indicators.asp
5. Investopedia "Macroeconomic Indicators That Affect the US Stock Market" [website]. URL:https://www.investopedia.com/articles/investing/031413/economic-indicatiors-affect-us-stock-market.asp
6. Investopedia "The U-6 (Unemployment) Rate" [website]. URL:https://www.investopedia.com/terms/u/u6-rate.asp
7. Investopedia "Consumer Confidence Index (CCI): Definition and What It Indicates" [website]. URL:https://www.investopedia.com/terms/c/cci.asp#:~:text=What%20Is%20the%20Consumer%20Confidence,regarding%20their%20expected%20financial%20situation.
8. Investopedia "Construction Spending" [website]. URL:https://www.investopedia.com/terms/c/constructionspending.asp
9. URL:https://quote.rbc.ru/news/article/6290aaf09a79472af98d807e

The list will be updated...

[arinaaandreeva]

While working with the literature , @Cincinnatik structured the review as follows: The first section was the consideration of the general and fundamental concept of the formation of an “Optimal portfolio". Next, the current methodological approaches for determining the strategy and portfolio formation are considered. Section 3 defines new aspects in portfolio optimization, using ML (Machine Learning) and NN (neural network). Section 4 discusses the impact of economic sectors on portfolio income.
Finally, section 5 concludes with a discussion of the ETF (exchange-traded fund) as the basis of the trading strategies and financial instruments we are studying.

The attached file contains a review of the literature on some sections. ↓ https://docs.google.com/document/d/1lDKOnkEIhKEXCsARhFH2jUL3P0pVgoeGky6KpovkaMM/edit?usp=sharing @Cincinnatik described Markowitz model, @arinaaandreeva described a hybrid Monte Carlo simulation and Markowitz model, some new methods (Portfolio management with robustness, optimization using stable distributions) and deep reinforcement learning for stock portfolio optimization.

The description of the literature continues, articles are being read, footnotes are being made, the list of references is being updated.....

[Cincinnatik]

The literature analysis was continued by @Cincinnatik . The impact of diversification by sector on portfolio profitability was analyzed in detail on the basis of modern approaches. Added material related to portfolio theory. To the existing articles were added:

• A portfolio construction model based on sector analysis using Dempster-Shafer evidence theory and Granger causal network
• Oil volatility, oil and gas firms and portfolio diversification.
• Sector analysis for a FTSE portfolio of stocks
• Sectoral and industrial performance during a stock market crisis
• Inflation and portfolio selection

(The detailed list can be found in the document itself). The attached file contains a review of the literature on some sections. ↓ https://docs.google.com/document/d/1lDKOnkEIhKEXCsARhFH2jUL3P0pVgoeGky6KpovkaMM/edit?usp=sharing

[InnaKazakova09]

The literature analysis was continued by @InnaKazakova09. More research was included in section 2 (on current methodological approaches to strategy definition and portfolio formation) and section 3 (on new aspects of portfolio optimization using ML (machine learning) and NN (neural network)). Then the 5th section about ETFs was described.

The list of references has also been updated, all changes are reflected in the document attached earlier https://docs.google.com/document/d/1lDKOnkEIhKEXCsARhFH2jUL3P0pVgoeGky6KpovkaMM/edit?usp=sharing

The literature review is thus completed, then we will deal with its formalization (check the numbering, bibliographic references, etc.).