Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets

doi:10.1186/s40854-021-00281-x

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	Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets
	Li,Yuze 1,2; Jiang,Shangrong 1; Wei,Yunjie 2,3; Wang,Shouyang 1,2,3
	2021-08-16
发表期刊	Financial Innovation
卷号	7 期号:1
摘要	AbstractThe emergence and growing popularity of Bitcoins have attracted the attention of the financial world. However, few empirical studies have considered the inclusion of the newly emerged commodity asset in the global commodity market. It is of great importance for investors and policymakers to take advantage of this asset and its potential benefits by incorporating it as a part of the broad commodity trading portfolio. In this study, we propose a novel ensemble portfolio optimization (NEPO) framework utilized for broad commodity assets, which integrates a hybrid variational mode decomposition-bidirectional long short-term memory deep learning model for future returns forecast and a reinforcement learning-based model for optimizing the asset weight allocation. Our empirical results indicate that the NEPO framework could effectively improve the prediction accuracy and trend prediction ability across various commodity assets from different sectors. In addition, it could effectively incorporate Bitcoins into the asset pool and achieve better financial performance compared to traditional asset allocation strategies, commodity funds, and indices.
关键词	Portfolio optimization Bitcoin Deep learning Reinforcement learning Variational mode decomposition
DOI	10.1186/s40854-021-00281-x
语种	英语
WOS记录号	BMC:10.1186/s40854-021-00281-x
出版者	Springer Berlin Heidelberg
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58515
专题	中国科学院数学与系统科学研究院
通讯作者	Wei,Yunjie
作者单位	1.University of Chinese Academy of Sciences; School of Economics and Management 2.Chinese Academy of Sciences; Academy of Mathematics and Systems Science 3.Chinese Academy of Sciences; Center for Forecasting Science
推荐引用方式 GB/T 7714	Li,Yuze,Jiang,Shangrong,Wei,Yunjie,et al. Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets[J]. Financial Innovation,2021,7(1).
APA	Li,Yuze,Jiang,Shangrong,Wei,Yunjie,&Wang,Shouyang.(2021).Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets.Financial Innovation,7(1).
MLA	Li,Yuze,et al."Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets".Financial Innovation 7.1(2021).