一种多趋势指标结合与择时引入峰值的投资组合优化系统  

Portfolio Optimization System Based on Multiple Trend Indices with Time Picking of Inducing Peak Prices

作　　者：陈靖邦 潘俊哲 沈皓朗 谷培 扈明涛 CHEN Jing-bang;PAN Jun-zhe;SHEN Hao-lang;GU Pei;HU Ming-tao(Jinan University-University of Birmingham Joint Institute,Jinan University,Guangzhou 511443,China)

机构地区：[1]暨南大学伯明翰大学联合学院,广州511443

出　　处：《计算机科学》2021年第S02期693-698,共6页Computer Science

基　　金：国家自然科学基金(61703182,62077028,61877029);中央高校基本科研经费(21617347,21617408,21619404,22wkzd10);广东科技计划项目(2017A040405029,2018KTSCX016,2019A050510024,2019A101002015);广州科技计划项目(201902010041);暨南大学‘国家大学生创新性实验计划’项目(202010559056)。

摘　　要：趋势表达指标是投资组合优化领域上的一个重要话题。但是大部分基于趋势表达的投资组合优化系统仅仅考虑到了一种指标,而仅考虑到一种指标的系统在不同的数据集上的效果往往差别会比较大,因此文中使用了多趋势指标结合的系统。文中提出的投资组合优化系统使用了一系列径向基函数分别对应3种趋势表达指标(分别是简单移动平均线、指数移动均线、低延迟趋势线),并通过收盘价与短期均线价格之间的关系,对以上3种趋势进行择时,在股票出现上涨趋势的情况下加入最高价格指标(第4个指标)。在这个算法中,一系列的径向基函数会根据近期的投资情况选择最好的趋势表达指标(自适应选择),并根据以最大化下一期财富为目标的凸优化问题的解集进行投资。最后,对本系统和5种常见的投资组合优化系统在两个数据集中进行了横向对比,并取其中较为先进的两种系统在4个数据集上进行了更详细的比较,发现本系统均优于其他系统。Trend representation index is an important topic in the field of portfolio optimization.However,most of the portfolio optimization systems based on trend representation only consider one index,and the effect of the system considering only one index is often quite different on different data sets,so we use multiple trend indices in our system.The portfolio optimization system proposed in this paper uses a series of radial basis functions corresponding to three trend representation indices(simple mo-ving average line,exponential moving average line and low-lag trendline)respectively.This system uses the above three indices and adds the peak price index according to the relationship between the closed price and the short-term average price.In this system,the series of radial basis functions will select the best trend expression index(adaptive selection)according to the recent investment situation.Then,the system will make investment according to the solution set of the convex optimization problem which aims at maximizing the wealth of the next period.Finally,the system and five common portfolio optimization systems are compared on two data sets,two of which are chosen to be compared in more detailed on four data sets,and we conclude that our system is better than other systems.

关 键 词：投资组合优化系统 指数移动均线 低延迟趋势线 径向基函数 最高价格指标 

分 类 号：O224[理学—运筹学与控制论]