KMS Of Academy of mathematics and systems sciences, CAS
| Binary switch portfolio | |
| Li, Tengfei1,2; Chen, Kani3; Feng, Yang4; Ying, Zhiliang2,4 | |
| 2017-05-01 | |
| 发表期刊 | QUANTITATIVE FINANCE
 |
| ISSN | 1469-7688 |
| 卷号 | 17期号:5页码:763-780 |
| 摘要 | We propose herein a new portfolio selection method that switches between two distinct asset allocation strategies. An important component is a carefully designed adaptive switching rule, which is based on a machine learning algorithm. It is shown that using this adaptive switching strategy, the combined wealth of the new approach is a weighted average of that of the successive constant rebalanced portfolio and that of the 1/N portfolio. In particular, it is asymptotically superior to the 1/N portfolio under mild conditions in the long run. Applications to real data show that both the returns and the Sharpe ratios of the proposed binary switch portfolio are the best among several popular competing methods over varying time horizons and stock pools. |
| 关键词 | Aggregating algorithm Asset return Bayesian analysis Portfolio selection Supervised learning Universal portfolio |
| DOI | 10.1080/14697688.2016.1223337 |
| 语种 | 英语 |
| 资助项目 | Hong Kong RGC[601011] ; Hong Kong RGC[600612] ; Hong Kong RGC[600813] ; Hong Kong RGC[163714] ; NSF[DMS-1308566] ; NSF[DMS-1554804] ; Columbia University |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS类目 | Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods |
| WOS记录号 | WOS:000399596900008 |
| 出版者 | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/25281 |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Feng, Yang |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Shanghai Ctr Math Sci, Shanghai, Peoples R China 3.Hong Kong Univ Sci & Technol, Dept Math, Hong Kong, Hong Kong, Peoples R China 4.Columbia Univ, Dept Stat, New York, NY 10027 USA |
| 推荐引用方式 GB/T 7714 | Li, Tengfei,Chen, Kani,Feng, Yang,et al. Binary switch portfolio[J]. QUANTITATIVE FINANCE,2017,17(5):763-780. |
| APA | Li, Tengfei,Chen, Kani,Feng, Yang,&Ying, Zhiliang.(2017).Binary switch portfolio.QUANTITATIVE FINANCE,17(5),763-780. |
| MLA | Li, Tengfei,et al."Binary switch portfolio".QUANTITATIVE FINANCE 17.5(2017):763-780. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
修改评论