KMS Of Academy of mathematics and systems sciences, CAS
| Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets | |
| Li,Yuze1,2; Jiang,Shangrong1; Wei,Yunjie2,3; Wang,Shouyang1,2,3 | |
| 2021-08-16 | |
| Source Publication | Financial Innovation
 |
| Volume | 7Issue:1 |
| Abstract | 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. |
| Keyword | Portfolio optimization Bitcoin Deep learning Reinforcement learning Variational mode decomposition |
| DOI | 10.1186/s40854-021-00281-x |
| Language | 英语 |
| WOS ID | BMC:10.1186/s40854-021-00281-x |
| Publisher | Springer Berlin Heidelberg |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/58515 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Wei,Yunjie |
| Affiliation | 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 |
| Recommended Citation 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). |
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