Method, device and terminal for quantifying expert opinions in asset allocation strategy
A technology of configuration strategy and quantification method, applied in the field of device, asset allocation strategy, quantification method of expert opinion, terminal and storable medium
Inactive Publication Date: 2020-12-01
上海众禄昭业财务咨询有限公司
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- Application Information
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[0004] The present invention provides a method for quantifying expert opinions in asset allocation strategies, aiming to solve the problem of how to quantify expert opinions, so as to combine with the traditional historical data method to improve the income of asset allocation
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[0042] The following will clearly and completely describe the technical solutions in the embodiments of the present invention with reference to the accompanying drawings in the embodiments of the present invention. Obviously, the described embodiments are some of the embodiments of the present invention, but not all of them. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.
[0043] It should also be understood that the terminology used in the description of the present invention is for the purpose of describing particular embodiments only and is not intended to be limiting of the present invention. As used in this specification and the appended claims, the singular forms "a", "an" and "the" are intended to include plural referents unless the context clearly dictates otherwise.
[0044] It should also be further unders...
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The invention discloses a method for quantifying expert opinions in an asset allocation strategy. The method comprises the steps of obtaining opinions of experts for various assets in a t + 1 period and market objective data of the various assets; converting the expert opinions into corresponding scores according to a preset scoring system rule; obtaining the expected adjustment amplitude of the yield corresponding to each asset; standardizing the expected adjustment amplitudes of the return rates corresponding to the assets to obtain a final adjustment amplitude alpha A; adding the final adjustment amplitude alpha A of each type of assets to the initial expected return rate rt + 1 to obtain a final expected return rate rA, t + 1 of each type of assets after expert opinion adjustment; andcombining the final adjustment amplitude alpha A and the initial covariance matrix sigma t + 1 of each asset according to a preset formula to obtain a final expected condition covariance matrix sigmaA, t + 1 after expert opinion adjustment. According to the invention, the expert opinions are combined with the traditional asset allocation method, so that the expected revenue and risk of various assets can be estimated more effectively, and better asset allocation can be obtained.
Description
technical field [0001] The present invention relates to the field of asset allocation, in particular to a method, device, terminal and storage medium for quantifying expert opinions in an asset allocation strategy. Background technique [0002] Asset allocation refers to the allocation of investment funds among different asset classes according to investment needs, usually between low-risk, low-yield securities and high-risk, high-yield securities. Traditional asset allocation strategies such as the mean-variance model involve the prediction of returns and risks, and the prediction methods include historical data methods and subjective judgment methods. The historical data method is to find out the law based on the past situation, use historical data modeling to make predictions, and adjust the ratio of various assets by estimating the expected return vector and covariance matrix. This method is more scientific and rigorous, but it lacks flexibility and adaptability to some...
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IPC IPC(8): G06Q40/06G06Q10/04G06Q10/06G06F17/16
CPCG06F17/16G06Q10/04G06Q10/0635G06Q10/06393G06Q40/06
Inventor 蔡明超张晨王晶
Owner 上海众禄昭业财务咨询有限公司