基于ARIMA和综合评价方法的投资组合研究——以黄金和比特币为例

Research on Investment Portfolio Based on ARIMA and Comprehensive Evaluation Method--Taking the Gold and Bitcoin as an Example

文章根据2016至2021年黄金和比特币收盘价数据,从收益与风险两个角度出发,建立了一种基于ARIMA和风险评估的组合投资综合评价模型,同时结合投资人的主观投资意愿,提出了一种考虑交易成本的投资策略,以实现高回报的组合投资。结果表明,黄金与比特币的风险时间上大致相抵;在初始只持有一千美元现金和佣金比例一定等条件下,五年投资的最终总资产约为1697.74万美元,收益率为1697640%。实测分析中的总资产约为53.26亿美元,约是预测时的314倍。

According to the closing price data of gold and Bitcoin from 2016 to 2021,this paper establishes a comprehensive evaluation model of portfolio investment based on ARIMA and risk assessment from the perspectives of income and risk.At the same time,combined with subjective will of investors,this paper proposes an investment strategy that considers transaction cost to achieve high-return portfolio investments.The results show that the risk time of gold and Bitcoin can be roughly offset.Under the conditions of only$1,000 initial cash and a certain ratio of commission,the final total assets of five-year investment is about$16.9774 million,and the return rate is 1697640%.The total assets in the measured analysis are about$5.326 billion,which is about 314 times of the forecast.