参数投资组合政策与基于势头的情绪交易策略
Wen-Yi Lee1, Yu-Hsuan Lin1, Jing-Rung Yu2
1Department of Information Management, National Taipei University of Business, Taipei, Taiwan.
PloS one
|November 6, 2025
概括
本研究介绍了一种新的参数组合政策,将市场情绪和势头整合起来,以加强投资策略. 情绪增强的势头方法明显优于传统模式,改善了资产配置和风险调整后的回报.
科学领域:
- 量化金融 量化金融
- 投资管理 投资管理
- 行为金融是行为金融.
背景情况:
- 传统的平均差异投资组合模型往往缺乏适应市场动态的能力.
- 整合市场情绪和势头可能会改善资产选择和投资组合表现.
- 现有的后续测试方法可能无法充分考虑现实交易成本和动态市场状况.
研究的目的:
- 开发和评估一个参数投资组合策略,其中包含基于势头的情绪特征向量.
- 通过整合市场情绪来增强传统的平均差异投资组合模型.
- 评估模型在延长的投资期内与基准投资组合相比的表现,考虑交易成本.
主要方法:
- 使用基于势头的情绪特征向量的参数投资组合政策的开发.
- 优化投资组合持有,基准投资组合和特征向量之间的相互关系.
- 模型的评估使用15年投资期,使用标准普尔500指数和道斯30指数股票的历史再平衡数据,计算交易成本.
主要成果:
- 拟议的模型显著优于基准模型,包括最小偏差模型.
- 情绪增强势头策略与传统的平均偏差方法相比,表现优越.
- 在金融危机期间,该模型增加了基于情绪的动力选择,导致了不同的资产配置和潜在的更高的投资者效用.
结论:
- 将市场情绪整合到特征向量结构中,对于提高投资组合绩效至关重要.
- 参数式投资组合政策在改善资产配置和风险调整回报方面具有显著价值.
- 情绪增强的势头策略为传统的投资组合优化方法提供了强大的替代方案.
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