带交易成本的二阶在线投资组合选择策略

doi:10.3969/j.issn.1000-5641.2019.04.008

华东师范大学学报(自然科学版) ›› 2019, Vol. 2019 ›› Issue (4): 72-82.doi: 10.3969/j.issn.1000-5641.2019.04.008

带交易成本的二阶在线投资组合选择策略

瞿菁晶¹, 郁顺昌¹, 黄定江^1,2

1. 华东理工大学理学院, 上海 200237;
2. 华东师范大学数据科学与工程学院, 上海 200062

收稿日期:2018-08-07 出版日期:2019-07-25 发布日期:2019-07-18
通讯作者: 黄定江,男,教授,研究领域为机器学习与人工智能及其在计算金融、教育等跨领域的大数据解析和应用.E-mail:djhuang@ecust.edu.cn. E-mail:djhuang@ecust.edu.cn
作者简介:瞿菁晶,女,硕士研究生,研究领域为机器学习与金融投资组合选择.E-mail:Jolinqu@hotmail.com.
基金资助:
国家自然科学基金（11501204，U1711262）；上海市自然科学基金（15ZR1408300）

Second-order online portfolio selection strategy with transaction costs

QU Jing-jing¹, YU Shun-chang¹, HUANG Ding-jiang^1,2

1. School of Science, East China University of Science and Technology, Shanghai 200237, China;
2. School of Data Science and Engineering, East China Normal University, Shanghai 200062, China

Received:2018-08-07 Online:2019-07-25 Published:2019-07-18

摘要/Abstract

摘要： 针对基于在线牛顿步（Online Newton Step，ONS）算法的投资组合选择策略没有考虑交易成本的问题，而交易成本是真实市场中不可或缺的部分，提出了一种新的带交易成本的在线投资组合选择策略，简称在线牛顿步交易成本策略（Online Newton Step Transaction Cost，ONSC）：首先，结合投资组合向量的二阶信息和交易成本惩罚项构造优化函数，并推导得出投资组合的更新公式；然后，通过理论分析得到ONSC算法的次线性后悔边界O（log （T））.实证研究表明，与半常数再调整投资组合策略（Semiconstant RebalancedPortfolios，SCRP）以及其他考虑交易成本的策略相比，在SP500、NYSE（O）、NYSE （N）和TSE这4个真实市场的数据集上，ONSC获得了最高的累计净收益和最小的周转率，表明了所提算法的有效性.

关键词: 投资组合选择, 在线牛顿步, 交易成本

Abstract: Existing portfolio selection strategies based on the online Newton step (ONS) algorithm ignore the role of transaction costs, an indispensable factor in real markets. This paper proposes a new online portfolio selection strategy, the online Newton step transaction cost (ONSC) method, to address this issue. First, we constructed the optimal function by combining second order information of a portfolio with the transaction cost penalty term, and the portfolio was subsequently updated. Then, the sublinear regret bound O(log(T)) was achieved by theoretical analysis. Empirical research on the data sets of four real markets-namely, SP500, NYSE(O), NYSE(N) and TSE-showed that in comparison to semiconstant rebalanced portfolios (SCRP) and other strategies with transaction costs, ONSC achieves the highest accumulated wealth and the smallest turnover. Hence, the research demonstrates the efiectiveness of the algorithm.

Key words: portfolio selection, online Newton step, transaction costs

中图分类号:

TP399

瞿菁晶, 郁顺昌, 黄定江. 带交易成本的二阶在线投资组合选择策略[J]. 华东师范大学学报(自然科学版), 2019, 2019(4): 72-82.

QU Jing-jing, YU Shun-chang, HUANG Ding-jiang. Second-order online portfolio selection strategy with transaction costs[J]. Journal of East China Normal University(Natural Sc, 2019, 2019(4): 72-82.

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带交易成本的二阶在线投资组合选择策略

Second-order online portfolio selection strategy with transaction costs

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