利用波动性信息为高频再平衡算法选择最佳投资组合

IF 6.9 1区 经济学 Q1 BUSINESS, FINANCE Financial Innovation Pub Date : 2024-03-25 DOI:10.1186/s40854-023-00590-3
Mahmut Bağcı, Pınar Kaya Soylu
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引用次数: 0

摘要

我们提出了一种高频再平衡算法(HFRA),并将其性能与定期再平衡(PR)和阈值再平衡(TR)策略进行了比较。定期再平衡是指定期调整投资组合中资产的相对权重,而阈值再平衡则是为投资组合设定配置限制,并在投资组合偏离目标配置超过特定百分比时进行再平衡。HFRA 的构建融合了配对交易和基于阈值的再平衡策略,并对 HFRA 的盈利能力进行了研究,以确定最佳投资组合规模。HFRA 适用于来自加密货币交易所市场、跨越各种趋势和波动机制的真实价格序列数据集。使用协整价格数据表明,在高波动环境下,增加投资组合中的资产数量有助于提高 HFRA 在上升趋势中的盈利能力,并降低 HFRA 在下降趋势中的潜在损失。在低波动率环境下,虽然增加投资组合的规模会略微提高高频风险投资组合的盈利能力,但不同规模的投资组合的盈利并无显著差异。事实证明,当波动率相对较高且趋势向上时,高频风险投资组合可以通过较大的投资组合获得可观的回报。此外,还将 HFRA 的盈利能力与长期应用的 PR 和 TR 策略进行了比较。HFRA 的盈利能力高于 PR 和 TR 策略。HFRA 的这一成就还通过费雪-皮特曼置换检验进行了统计验证。
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation. The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy, and the profitability of the HFRA is examined to determine the optimal portfolio size. The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA’s profitability, the profits of portfolios of varied sizes do not significantly differ. It is demonstrated that when volatility is relatively high and the trend is upward, the HFRA can yield a substantial return via portfolios of large sizes. Moreover, the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application. The HFRA is more profitable than the PR and TR strategies. This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.
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来源期刊
Financial Innovation
Financial Innovation Economics, Econometrics and Finance-Finance
CiteScore
11.40
自引率
11.90%
发文量
95
审稿时长
5 weeks
期刊介绍: Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.
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