{"title":"动态资产配置——追逐移动目标","authors":"K. Chang, Z. Tian, Jiayang Yu","doi":"10.23919/ICIF.2017.8009870","DOIUrl":null,"url":null,"abstract":"Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.","PeriodicalId":148407,"journal":{"name":"2017 20th International Conference on Information Fusion (Fusion)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamic asset allocation — Chasing a moving target\",\"authors\":\"K. Chang, Z. Tian, Jiayang Yu\",\"doi\":\"10.23919/ICIF.2017.8009870\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.\",\"PeriodicalId\":148407,\"journal\":{\"name\":\"2017 20th International Conference on Information Fusion (Fusion)\",\"volume\":\"60 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-07-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2017 20th International Conference on Information Fusion (Fusion)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.23919/ICIF.2017.8009870\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2017 20th International Conference on Information Fusion (Fusion)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.23919/ICIF.2017.8009870","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dynamic asset allocation — Chasing a moving target
Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.