计算机科学 ›› 2021, Vol. 48 ›› Issue (11A): 693-698.doi: 10.11896/jsjkx.210300215
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 andHU Ming-tao
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。
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