长期投资的组合策略:决策和算法的无分布偏好框架

Duy Khanh Lam
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引用次数: 0

摘要

本文研究了为连续投资组合组合多种策略以在长期财富方面优于单个策略的问题。由于策略在未来市场中表现的不确定性(通常基于特定模型和统计假设),投资者通常通过组合多种策略来降低风险并增强稳健性,这与集体学习预测中的常见方法类似。然而,由于目标模糊,缺乏无分布且一致的偏好框架使得组合决策变得复杂。为了弥补这一缺陷,我们引入了一个新颖的决策框架,通过建立投资者在决策之间的偏好,然后形成一个明确的目标,从而在不考虑市场条件的情况下进行策略组合决策。通过这一框架,我们提出了一种组合策略构建方法,它不受统计假设的限制,适用于任何规模的组合策略,甚至是无限规模的组合策略,从而满足确定的标准。最后,我们对所提出的策略及其加速变体和其他一些多策略进行了测试。数值实验结果表明,所提出的策略尽管在夏普比率上略有折衷,但其累积财富最终超过了最佳组合策略,而加速策略则显著提高了绩效。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which are often based on specific models and statistical assumptions, investors often mitigate risk and enhance robustness by combining multiple strategies, akin to common approaches in collective learning prediction. However, the absence of a distribution-free and consistent preference framework complicates decisions of combination due to the ambiguous objective. To address this gap, we introduce a novel framework for decision-making in combining strategies, irrespective of market conditions, by establishing the investor's preference between decisions and then forming a clear objective. Through this framework, we propose a combinatorial strategy construction, free from statistical assumptions, for any scale of component strategies, even infinite, such that it meets the determined criterion. Finally, we test the proposed strategy along with its accelerated variant and some other multi-strategies. The numerical experiments show results in favor of the proposed strategies, albeit with small tradeoffs in their Sharpe ratios, in which their cumulative wealths eventually exceed those of the best component strategies while the accelerated strategy significantly improves performance.
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