基于移动窗口的适应性在线投资组合策略

doi:10.12052/gdutxb.170163

Abstract

Abstract: Online portfolio selection is an important research problem in the field of quantitative investment. To avoid the interference with current investment decisions caused by the stock price data far from now in the intensely fluctuating stock market, online portfolio strategies based on moving window are designed. Using the recent stock price data, the recent performances of all constant rebalanced portfolios are computed and ranked. An online portfolio strategy based on moving window is designed by weighted averaging all constant rebalanced portfolios. Further using adaptive learning method to select the length of the moving window, the adaptive learning strategy is put forward. Empirical analyses are made on the proposed strategies using the real stock price data. The results show that they have better performance.

Key words: portfolio, moving window, adaptive strategy, online algorithm, empirical analysis

CLC Number:

F830.59

Yang Xing-yu, He Jin-an, Shen Jian-hua. An Adaptive Online Portfolio Strategy Based on Moving Window[J].Journal of Guangdong University of Technology, 2018, 35(03): 61-66.

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An Adaptive Online Portfolio Strategy Based on Moving Window

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