Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanageme...Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanagement costs, and better long-term performance, but are at the risk ofsevere short-term declines due to a lack of Risk Control tools. Although thereare some methods to use historical volatility for Risk Control, it is still difficultto adapt to the rapid switch of market styles. How to strengthen the RiskControl management of the portfolio while maintaining the original advantagesof smart beta has become a new issue of concern in the industry. Thispaper demonstrates the scientific validity of using a probability prediction forposition optimization through an optimization theory and proposes a novelnatural gradient boosting (NGBoost)-based portfolio optimization method,which predicts stock prices and their probability distributions based on non-Bayesian methods and maximizes the Sharpe ratio expectation of positionoptimization. This paper validates the effectiveness and practicality of themodel by using the Chinese stock market, and the experimental results showthat the proposed method in this paper can reduce the volatility by 0.08 andincrease the expected portfolio cumulative return (reaching a maximum of67.1%) compared with the mainstream methods in the industry.展开更多
A new active control method is presented to attenuate vibrations of a flexible beam with nonlinear hysteresis and time delay. The nonlinear and hysteretic behavior of the system is illustrated by the Bouc-Wen model. B...A new active control method is presented to attenuate vibrations of a flexible beam with nonlinear hysteresis and time delay. The nonlinear and hysteretic behavior of the system is illustrated by the Bouc-Wen model. By specific transformation and augmentation of state parameters, we can convert the motion equation of the system with explicit time delay to the standard state space representation without any explicit time delay. Then the instantaneous optimal control method and Runge-Kutta method in fourth-order are applied to the controller design with time delay. Finally, in order to verify the effectivity of the time-delay controller proposed, numerical simulations are implemented. It is indicated by the simulation results that the control performance will deteriorate if neglect the time delay in process of the controller design and proposed time delay controller works well with both small and large time delay problems.展开更多
基金supported by the National Natural Science Foundation of China[Grant Number 61902349].
文摘Rule-based portfolio construction strategies are rising as investmentdemand grows, and smart beta strategies are becoming a trend amonginstitutional investors. Smart beta strategies have high transparency, lowmanagement costs, and better long-term performance, but are at the risk ofsevere short-term declines due to a lack of Risk Control tools. Although thereare some methods to use historical volatility for Risk Control, it is still difficultto adapt to the rapid switch of market styles. How to strengthen the RiskControl management of the portfolio while maintaining the original advantagesof smart beta has become a new issue of concern in the industry. Thispaper demonstrates the scientific validity of using a probability prediction forposition optimization through an optimization theory and proposes a novelnatural gradient boosting (NGBoost)-based portfolio optimization method,which predicts stock prices and their probability distributions based on non-Bayesian methods and maximizes the Sharpe ratio expectation of positionoptimization. This paper validates the effectiveness and practicality of themodel by using the Chinese stock market, and the experimental results showthat the proposed method in this paper can reduce the volatility by 0.08 andincrease the expected portfolio cumulative return (reaching a maximum of67.1%) compared with the mainstream methods in the industry.
基金supported by the Key Project(11132001)the General Projects of Natural Science Foundation of China(11072146,11272202,and 11002087)the Specialized Research Fund for the Doctoral Program of Higher Education of China(20110073110008)
文摘A new active control method is presented to attenuate vibrations of a flexible beam with nonlinear hysteresis and time delay. The nonlinear and hysteretic behavior of the system is illustrated by the Bouc-Wen model. By specific transformation and augmentation of state parameters, we can convert the motion equation of the system with explicit time delay to the standard state space representation without any explicit time delay. Then the instantaneous optimal control method and Runge-Kutta method in fourth-order are applied to the controller design with time delay. Finally, in order to verify the effectivity of the time-delay controller proposed, numerical simulations are implemented. It is indicated by the simulation results that the control performance will deteriorate if neglect the time delay in process of the controller design and proposed time delay controller works well with both small and large time delay problems.
