何錦安 袁佳鑫 賴明聰 張士瑜

摘要：由于股票交易中實(shí)際存在的交易費(fèi)用是影響投資決策的一個(gè)重要因素，考慮帶交易費(fèi)用的在線投資組合策略。大幅度調(diào)整股票頭寸會(huì)產(chǎn)生較高的交易費(fèi)用，將上一期策略與所有歷史數(shù)據(jù)對(duì)應(yīng)的最優(yōu)定常再調(diào)整策略進(jìn)行加權(quán)平均，設(shè)計(jì)了一個(gè)在線投資組合策略。考慮到股票市場(chǎng)往往波動(dòng)劇烈，過(guò)去較長(zhǎng)時(shí)間的歷史數(shù)據(jù)對(duì)當(dāng)前的投資決策影響不大，僅利用近期固定時(shí)間長(zhǎng)度的歷史數(shù)據(jù)構(gòu)造策略，設(shè)計(jì)了一個(gè)適應(yīng)性的在線投資組合策略。在考慮交易費(fèi)用的情況下對(duì)策略進(jìn)行實(shí)證分析，結(jié)果表明策略仍然具有較好的性能。

Abstract： As transaction costs exist in the actual stock trading is an important factor in investment decision making， this article presents an online portfolio strategy with transaction costs. As we all know， massively adjustment of portfolios brings large transaction costs. According to the latest portfolio and the corresponding best constant rebalanced portfolio based on historical data， we compute weighted mean and design an online portfolio strategy. The stock market always fluctuates intensely， so the stock prices far from now have little impact on the current investment decision， and thus we design online portfolio strategy only basing on the recent fixed length of historical data. An empirical analysis is carried out in consideration of transaction costs， which shows that the strategy has a better performance.

關(guān)鍵詞：在線投資組合；交易費(fèi)用；實(shí)證分析

Key words： online portfolio；transaction costs；empirical analysis

中圖分類號(hào)：F830.59 文獻(xiàn)標(biāo)識(shí)碼：A 文章編號(hào)：1006-4311（2017）01-0156-02