利用现金流进行稳健的在线投资组合优化

IF 6.7 2区 管理学 Q1 MANAGEMENT
Benmeng Lyu , Boqian Wu , Sini Guo , Jia-Wen Gu , Wai-Ki Ching
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引用次数: 0

摘要

金融领域的一个基本问题是投资组合选择,即在一组资产中寻找分配资本的最佳策略。人们对在线投资组合选择的兴趣与日俱增,因为随着新的金融市场数据不断到来,投资策略会在短时间内频繁调整。许多有效的算法在理论分析和实证评估方面都得到了广泛的研究。以往包含交易成本的在线投资组合选择算法的局限性在于,它们通常是对交易剩余因素进行近似计算,而不是精确计算。这可能会导致投资绩效不理想。为解决这一问题,我们提出了一种创新方法,该方法考虑了交易成本,并能同时求解准确的交易剩余因子和每个时期的最优投资组合分配。此外,我们还考虑到开放式基金允许持续的现金流入,并开发了在线投资组合选择框架。我们还纳入了不确定性集,以尽量减少预测过程中预测误差的影响。利用这一创新模型中提出的框架,我们开发了一种在线投资组合选择的新算法,该算法将交易成本和持续现金流入纳入其中,目标是实现累积财富最大化。数值实验表明,所提出的算法能够有效地处理交易成本和持续的现金流入。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Robust online portfolio optimization with cash flows

One fundamental issue in finance is portfolio selection, which seeks the best strategy for assigning capital among a group of assets. There has been growing interest in online portfolio selection where the investment strategy is frequently readjusted in a short time as new financial market data arrives constantly. Numerous effective algorithms have been extensively examined both in terms of theoretical analysis and empirical evaluation. Previous online portfolio selection algorithms that incorporate transaction costs are limited by the fact that they often approximate the transaction remainder factor instead of calculating it precisely. This could lead to suboptimal investment performance. To address this issue, we present an innovative method that considers transaction costs and resolves the accurate transaction remainder factor and the optimal portfolio allocation simultaneously for each period. In addition, we take into account the open-end fund, which permits constant cash inflows, and develop a framework for online portfolio selection. We also incorporate the uncertainty set to minimize the impact of the prediction error during the prediction process. Utilizing the framework presented in this innovative model, we develop a novel algorithm for online portfolio selection that incorporates transaction costs and continuous cash inflows with the objective of maximizing cumulative wealth. Numerical experiments show that the proposed algorithms are able to handle transaction costs and constant cash inflows effectively.

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来源期刊
Omega-international Journal of Management Science
Omega-international Journal of Management Science 管理科学-运筹学与管理科学
CiteScore
13.80
自引率
11.60%
发文量
130
审稿时长
56 days
期刊介绍: Omega reports on developments in management, including the latest research results and applications. Original contributions and review articles describe the state of the art in specific fields or functions of management, while there are shorter critical assessments of particular management techniques. Other features of the journal are the "Memoranda" section for short communications and "Feedback", a correspondence column. Omega is both stimulating reading and an important source for practising managers, specialists in management services, operational research workers and management scientists, management consultants, academics, students and research personnel throughout the world. The material published is of high quality and relevance, written in a manner which makes it accessible to all of this wide-ranging readership. Preference will be given to papers with implications to the practice of management. Submissions of purely theoretical papers are discouraged. The review of material for publication in the journal reflects this aim.
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