Hierarchical strategy for active portfolio management considering transaction costs

被引：0
|
作者：
Lao, LJ [1 ]
Fan, LZ [1 ]
机构：
[1] Fudan Univ, Sch Management, Dept Finance, Shanghai 200433, Peoples R China
来源：
PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-7 | 2004年
关键词：
portfolio strategies; prediction; cross rate; active management; transaction costs;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, a hierarchical strategy for active portfolio management considering transaction costs is presented based on the two multiplicative portfolio update rules and the cross rate prediction method. The empirical research work with the real data from Shanghai stock exchange shows that the presented active strategy is profitable in Chinese stock market.
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页码：2697 / 2701
页数：5
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