利用人工智能加强投资组合管理:文献综述

Kristina Sutiene, Peter Schwendner, Ciprian Sipos, Luis Lorenzo, Miroslav Mirchev, Petre Lameski, Audrius Kabašinskas, Chemseddine Tidjani, Belma Ozturkkal, Jurgita Černevičienė
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引用次数: 0

摘要

建立投资组合是众多研究人员多年来一直在探讨的问题。其主要目标一直是通过优化配置股票、债券和现金等资产来平衡风险和回报。一般来说,投资组合管理过程分为三个步骤:计划、执行和反馈,每个步骤都有其目标和方法。从马科维茨的均值方差投资组合理论开始,不同的框架已被广泛接受,这大大更新了资产配置的解决方式。人工智能的最新进展为解决高度复杂的问题提供了方法和技术能力,投资组合也不例外。因此,本文通过回答人工智能如何改变投资组合管理步骤这一核心问题,回顾了当前最先进的方法。此外,由于人工智能在金融领域的应用受到透明度、公平性和可解释性等要求的挑战,本文对资产配置的事后解释进行了案例研究。最后,我们讨论了欧洲投资业务近期的监管发展,并强调了可解释人工智能可提高投资过程透明度的具体业务方面。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Enhancing portfolio management using artificial intelligence: literature review
Building an investment portfolio is a problem that numerous researchers have addressed for many years. The key goal has always been to balance risk and reward by optimally allocating assets such as stocks, bonds, and cash. In general, the portfolio management process is based on three steps: planning, execution, and feedback, each of which has its objectives and methods to be employed. Starting from Markowitz's mean-variance portfolio theory, different frameworks have been widely accepted, which considerably renewed how asset allocation is being solved. Recent advances in artificial intelligence provide methodological and technological capabilities to solve highly complex problems, and investment portfolio is no exception. For this reason, the paper reviews the current state-of-the-art approaches by answering the core question of how artificial intelligence is transforming portfolio management steps. Moreover, as the use of artificial intelligence in finance is challenged by transparency, fairness and explainability requirements, the case study of post-hoc explanations for asset allocation is demonstrated. Finally, we discuss recent regulatory developments in the European investment business and highlight specific aspects of this business where explainable artificial intelligence could advance transparency of the investment process.
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