摘要
综合考虑专家意见是投资者常用的投资决策方法。通过集成活跃专家意见,提出了一个新的在线投资组合策略。首先将所有定常再调整策略看作专家,并通过淘汰近期表现最差的专家构造活跃专家集合;然后利用弱集成算法集成所有活跃专家的意见,进而构造弱集成活跃专家策略。采用实际的股票数据对提出的策略进行数值分析,结果表明该策略具有更好的竞争性能。
It is a common investment decision-making method for investors to comprehensively consider expert advice.By aggregating active expert advice,a new online portfolio strategy is proposed.First,considering all constant rebalanced portfolio strategies as experts,an active expert set is constructed by eliminating the worst recent performing expert.Second,using the weak aggregating algorithm to aggregate all active expert advice,an online portfolio strategy is then constructed.The proposed strategy is numerically analyzed by using actual stock data.The results show that the strategy has a more competitive performance.
作者
何锦安
王蓓
林家星
He Jin-an;Wang Bei;Lin Jia-xing(School of Management,Guangdong University of Technology,Guangzhou 510520,China)
出处
《广东工业大学学报》
CAS
2020年第4期59-64,共6页
Journal of Guangdong University of Technology
基金
教育部人文社会科学研究基金资助项目(18YJA630132)。
关键词
在线投资组合
活跃专家意见
弱集成算法
移动窗口
在线学习
online portfolio
active expert advice
weak aggregating algorithm
moving window
online learning
