基于凯利准则的投资信息指数

IF 3.9 4区计算机科学 Q1 COMPUTER SCIENCE, INFORMATION SYSTEMS

Enterprise Information Systems Pub Date : 2021-06-14 DOI:10.1080/17517575.2021.1939425

Mu-En Wu, Jia-Hao Syu, Gautam Srivastava, Chun-Wei Lin

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引用次数: 7

摘要

摘要当涉及到资产配置和投资组合管理时，Kelly准则是一个用于优化长期预期日志回报的数学公式。尽管如此，并不是所有的股票都很适合使用凯利准则进行分析，因为它们的瞬态性质和噪声数据。本文提出了一个创新指数，用于评估股票的适用性，以使用凯利准则进行分析。当应用于真实世界的股票数据时，所提出的KSI与基于Kelly准则的对数回报之间的相关系数为-值。在基于Mid-Cap 100数据集的稳健性测试中，相关系数的值为。结果证明了KSI对投资组合管理的有效性。

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Informative index for investment based on Kelly criterion

ABSTRACT When it comes to asset allocation and portfolio management, Kelly criterion is a mathematical formula used to optimise expected log-returns over the long term. Nonetheless, not all stocks are well suited for analysis using Kelly criterion, due to their transient nature and noisy data. This paper presents an innovative index by which to assess the suitability of stocks for analysis using the Kelly criterion. When applied to real-world stock data, the correlation coefficient between the proposed KSI and log-returns based on the Kelly criterion was with a -value of . In a robustness test based on the Mid-Cap 100 dataset, the correlation coefficient was with a -value of . The results demonstrate the efficacy of the KSI for portfolio management.

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来源期刊

Enterprise Information Systems 工程技术-计算机：信息系统

CiteScore

11.00

自引率

6.80%

发文量

审稿时长

6 months

期刊介绍： Enterprise Information Systems (EIS) focusses on both the technical and applications aspects of EIS technology, and the complex and cross-disciplinary problems of enterprise integration that arise in integrating extended enterprises in a contemporary global supply chain environment. Techniques developed in mathematical science, computer science, manufacturing engineering, and operations management used in the design or operation of EIS will also be considered.