基于活跃专家意见的在线投资组合策略

何锦安; 王蓓; 林家星

doi:10.12052/gdutxb.190091

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基于活跃专家意见的在线投资组合策略

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- 基于活跃专家意见的在线投资组合策略
- An Online Portfolio Strategy Based on Active Expert Advice
- 广东工业大学学报 2020年37卷第4期页码：59-64
- 作者机构：
  
  广东工业大学管理学院,广东,广州,510520
- 作者简介：
  
  何锦安(1993–)，男，硕士研究生，主要研究方向为在线金融决策
  王蓓(1974–)，女，讲师，博士，主要研究方向为决策科学，E-mail：linda@gdut.edu.cn
- 基金信息：
  
  教育部人文社会科学研究基金资助项目(18YJA630132)
- DOI：10.12052/gdutxb.190091
  中图分类号： F830.59
- 网络首发：2020-07-11，
  
  纸质出版：2020
- 稿件说明：
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何锦安, 王蓓, 林家星. 基于活跃专家意见的在线投资组合策略[J]. 广东工业大学学报, 2020, 37(4): 59-64.

He Jin-an, Wang Bei, Lin Jia-xing. An Online Portfolio Strategy Based on Active Expert Advice[J]. 2020, 37(4): 59-64.
何锦安, 王蓓, 林家星. 基于活跃专家意见的在线投资组合策略[J]. 广东工业大学学报, 2020, 37(4): 59-64. DOI： 10.12052/gdutxb.190091.

He Jin-an, Wang Bei, Lin Jia-xing. An Online Portfolio Strategy Based on Active Expert Advice[J]. 2020, 37(4): 59-64. DOI： 10.12052/gdutxb.190091.

摘要

综合考虑专家意见是投资者常用的投资决策方法。通过集成活跃专家意见

提出了一个新的在线投资组合策略。首先将所有定常再调整策略看作专家

并通过淘汰近期表现最差的专家构造活跃专家集合; 然后利用弱集成算法集成所有活跃专家的意见

进而构造弱集成活跃专家策略。采用实际的股票数据对提出的策略进行数值分析

结果表明该策略具有更好的竞争性能。

Abstract

It is a common investment decision-making method for investors to comprehensively consider expert advice. By aggregating active expert advice

a new online portfolio strategy is proposed. First

considering all constant rebalanced portfolio strategies as experts

an active expert set is constructed by eliminating the worst recent performing expert. Second

using the weak aggregating algorithm to aggregate all active expert advice

an online portfolio strategy is then constructed. The proposed strategy is numerically analyzed by using actual stock data. The results show that the strategy has a more competitive performance.

关键词

Keywords

references

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