一种基于等风险思想的投资组合算法研究

A study on algorithm for portfolio based on the strategy of equal-risk

基于等风险思想设计了一种新的算法—等风险算法.算法采用逐步调整的策略使风险函数连续化,尤其考虑最小交易费用的影响,能够利用银行的无风险性做出相应调整,找出最低风险和与之对应的最大收益的关系.等风险算法克服了投资方案对投资规模的敏感性,因此成为一种和投资规模无关的普适算法.实际案例数值结果表明算法非常有效.

A new algorithm based on the strategy of equal-risk,is presented in the present paper. The algorithm adopts strategy of step-by-step adjustment, and especially considering the smallest exchange fee, utilize the nonrisk bank investment to do corresponding adjustments. At last the relationship between the lowest risk and the corresponding highest profit has been found. The algorithm overcomes the problem that the result is sensitive to the scale of investment,so it is a universal algorithm not relative to the scale of investment. The numerical results of the study suggest that the algorithm is very effective.