基于资产收益生成模型的投资组合构建总体框架

Tuoyuan Cheng, Kan Chen
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引用次数: 0

摘要

在本文中,我们提出了一种利用高性能计算能力构建和优化投资组合的综合方法。我们首先探讨了用于投资组合优化的生成模型预测和目标函数的各种配对,并使用基于 LASSO 的性能分配模型对其进行了评估。我们使用大量的加密货币投资组合模拟来说明我们的方法,结果表明,使用葡萄树-科普拉斯生成模型和沙普比率目标函数构建的投资组合始终表现优异。为了适应广泛的投资策略,我们进一步研究了投资组合混合,并提出了评估和组合投资策略的一般框架。我们采用了多臂强盗框架的扩展,并使用价值模型和政策模型来构建基于过往表现的折衷混合投资组合。我们考虑了价值模型的相似性和最优性度量,并对政策模型采用了概率匹配("混合")和贪婪算法("切换")。我们还利用 LASSO 模型对折中投资组合进行了评估。我们发现,利用余弦相似性和对数最优性的价值模型始终具有稳健的卓越表现。折中投资组合优于基准的程度大大超过了基于生成模型的单个投资组合优于各自基准的程度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings of generative model forecasts and objective functions used for portfolio optimization, which are evaluated using performance-attribution models based on LASSO. We illustrate our approach using extensive simulations of crypto-currency portfolios, and we show that the portfolios constructed using the vine-copula generative model and the Sharpe-ratio objective function consistently outperform. To accommodate a wide array of investment strategies, we further investigate portfolio blending and propose a general framework for evaluating and combining investment strategies. We employ an extension of the multi-armed bandit framework and use value models and policy models to construct eclectic blended portfolios based on past performance. We consider similarity and optimality measures for value models and employ probability-matching ("blending") and a greedy algorithm ("switching") for policy models. The eclectic portfolios are also evaluated using LASSO models. We show that the value model utilizing cosine similarity and logit optimality consistently delivers robust superior performances. The extent of outperformance by eclectic portfolios over their benchmarks significantly surpasses that achieved by individual generative model-based portfolios over their respective benchmarks.
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