基于多任务相关学习的投资组合优化  

Portfolio optimization based on multi-task relationship learning

作　　者：倪宣明 沈鑫圆 赵慧敏[2] 邱语宁 NI Xuanming;SHEN Xinyuan;ZHAO Huimin;QIU Yuning(School of Software and Microelectronics,Peking University,Beijing 100871,China;School of Business,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]北京大学软件与微电子学院,北京100871 [2]中山大学管理学院,广州510275

出　　处：《系统工程理论与实践》2021年第6期1428-1438,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71991474)。

摘　　要：在包含不确定性的投资组合策略研究中,对不同权重估计量进行加权能够对冲估计误差,从而取得更好的样本外效果.一般来说,这类策略的加权权重往往取决于一定的分布假设,在实际应用中具有比较大的局限性.为了改进这一点,本文使用多任务相关学习(multi-task relationship learning,MTRL)的算法框架,通过估计全局方差最小(global minimum variance,GMV)和均值-方差(mean-variance,MV)切点组合权重之间的相关性矩阵,对GMV和MV切点组合的权重进行了同步估计,从而实现了加权估计的类似效果.在实证检验方面,本文使用A股2000年至2019年的全样本日数据,构建了两个数据集:因子组合以及从沪深300指数成分股中随机抽取的个股组合.基于因子组合数据集的样本外结果,本文发现基于MTRL的MV切点策略(MTRL-MV)能够在夏普率,标准差和换手率上取得显著优于原MV切点组合策略,等权重以及其他几种加权策略的表现.最后,本文使用A股的因子组合子样本、随机抽样的个股组合以及美股因子组合共3个数据集进行了稳健性检验,结果表明MTRL-MV相对于基准策略MV具有比较显著的提升.Among all the portfolio optimization studies that consider uncertainty,it has been shown that by combining different strategies,estimation error can be hedged and better out-of-sample performance can be achieved.In general,these kinds of combining strategies rely heavily on the distribution assumption to decide the combining weights,which may weaken their practical applicability.To improve this,this paper utilizes multi-task relationship learning(MTRL) framework to estimate global minimum variance(GMV)weight and mean-variance(MV) tangency weight simultaneously,by estimating the correlation matrix between these two weights,achieving a combining-like result.In terms of empirical tests,this paper uses daily data of A-share market spanning from 2000 to 2019 to construct two datasets:factor portfolios and stock portfolios randomly collected from HS300 index constituents.The empirical out-of-sample result based on factor portfolio dataset suggests that MTRL-MV can achieve better performance than original MV,equally-weighted(EW) and other combining strategies in terms of Sharpe ratio,standard deviation and turnover.In the end,this paper uses three datasets:The subsample of factor portfolios from Chinese A share and US stock market and individual stock portfolios,to conduct robustness test,which confirms MTRL-MV’s improvement compared to other strategies.

关 键 词：投资组合优化 加权估计 多任务相关学习 

分 类 号：F830.9[经济管理—金融学]