{"title":"An interaction-based combined portfolio strategy with applications to stock markets","authors":"Tangtang He, Zongrun Wang, Debin Xiong","doi":"10.1002/mde.4300","DOIUrl":null,"url":null,"abstract":"<p>Each portfolio model has its own advantages. Behavioral portfolio models can depict investor psychology, but it is not easy to obtain the preference parameters. We propose an interaction-based combined (InCo) portfolio that determines the proportions of assets based on investor preferences. We take the existing models as alternatives and innovatively develop a visualization tool to present the portfolio performance. Hesitant fuzzy set theory is used to describe investor evaluations and to then determine the proportions of alternatives. The out-of-sample performance of four strategies is tested on four datasets. The results show that InCo portfolio performs better in various markets.</p>","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2024-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/mde.4300","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
引用次数: 0
Abstract
Each portfolio model has its own advantages. Behavioral portfolio models can depict investor psychology, but it is not easy to obtain the preference parameters. We propose an interaction-based combined (InCo) portfolio that determines the proportions of assets based on investor preferences. We take the existing models as alternatives and innovatively develop a visualization tool to present the portfolio performance. Hesitant fuzzy set theory is used to describe investor evaluations and to then determine the proportions of alternatives. The out-of-sample performance of four strategies is tested on four datasets. The results show that InCo portfolio performs better in various markets.