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A short-term sparse portfolio optimization system based on alternating direction multiplier criterion

A technology of alternating direction multipliers and asset portfolios, applied in the field of machine learning, can solve problems such as unsatisfactory investment returns

Active Publication Date: 2019-01-29
JINAN UNIVERSITY
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  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0025] In order to solve the problem that the investment income of the prior art is still not ideal, the present invention provides a short-term sparse asset portfolio optimization system based on the alternating direction multiplier criterion

Method used

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  • A short-term sparse portfolio optimization system based on alternating direction multiplier criterion
  • A short-term sparse portfolio optimization system based on alternating direction multiplier criterion
  • A short-term sparse portfolio optimization system based on alternating direction multiplier criterion

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Embodiment 1

[0093] A short-term sparse asset portfolio optimization system based on the alternating direction multiplier criterion, including a data input module, a yield calculation module, an asset portfolio generation module, a standardization and an output module;

[0094] The data input module is used to collect historical asset price data and transmit it to the yield calculation module;

[0095] The rate of return calculation module is used to calculate the received historical asset price data, obtain the generalized logarithmic rate of return, and transmit it to the asset portfolio generation module;

[0096] The asset portfolio generation module is used to calculate the received generalized logarithmic rate of return and the stored historical asset portfolio by using a solution algorithm based on the alternating direction multiplier criterion to obtain a sparse next-period asset portfolio, and transfer it to the normalization and export module;

[0097] The standardization and ou...

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Abstract

The invention relates to a short-term sparse portfolio optimization system based on alternating direction multiplier criterion, including a data input module, an income calculation module, a portfoliogeneration module, a standardization and output module, wherein, the operation mechanism in the portfolio generation module can simultaneously process L1 regularization item and self-financing item,and has a saddle point, so the calculation accuracy can be greatly improved. Compared with the prior art, the invention obtains higher investment income, can bear certain transaction cost loss, runs quickly, and is suitable for real-world financial environment. The system can concentrate wealth on a small part of assets with good growth potential, thereby maximizing the final wealth of the entireinvestment period.

Description

technical field [0001] The invention relates to the field of machine learning, and more specifically, relates to a short-term sparse asset portfolio optimization system based on alternating direction multiplier criterion. Background technique [0002] At present, formulas (1) and (2) are generally used in asset portfolio optimization. [0003] Assume that there are n trading periods in the entire investment period, and there are d items of assets available for allocation in the financial market studied. Then assume that the current period is t, and record the asset price as a d-dimensional non-negative vector In addition, define the price ratio vector as follows: [0004] [0005] Among them, division of two vectors means element-wise division. The price ratio indicates how much output a unit of an asset invested in the previous period will produce in the current period. [0006] Correspondingly, an asset portfolio vector represents the proportion of all wealth alloc...

Claims

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Application Information

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IPC IPC(8): G06Q10/04G06Q40/06
CPCG06Q10/04G06Q40/06
Inventor 赖兆容
Owner JINAN UNIVERSITY
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