基于非线性规划的动态投资策略

Q3 Economics, Econometrics and Finance

Global Business and Finance Review Pub Date : 2022-06-01 DOI:10.18282/gfr.v4i1.2766

Haomiao Niu, Hanshuo Song, Huiyan Cui

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引用次数: 0

摘要

本文针对金融市场中黄金和比特币的交易问题，建立了基于KDJ和MACD指标的交易策略，建立了基于均值方差变化的有效前沿曲线模型来确定投资比例，并利用拉格朗日乘数法实现交易者收益率最大化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynamic Investment Strategy Based on Nonlinear Programming

Aiming at the trading problem of gold and bitcoin in the financial market, this paper establishes a trading strategy based on KDJ and MACD indicators, and establishes an effective frontier curve model based on the change of mean variance to determine the investment ratio, and uses Lagrange multiplier method to maximize the trader's return rate.

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来源期刊

Global Business and Finance Review Economics, Econometrics and Finance-Finance

CiteScore

1.20

自引率

0.00%

发文量

审稿时长

16 weeks