CN108961067A - A kind of portfolio optimization method and device that risk is controllable - Google Patents
A kind of portfolio optimization method and device that risk is controllable Download PDFInfo
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/04—Forecasting or optimisation specially adapted for administrative or management purposes, e.g. linear programming or "cutting stock problem"
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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Abstract
The embodiment of the present invention discloses a kind of portfolio optimization method and device that risk is controllable, wherein method includes: the transaction data for obtaining trade market, and the transaction data is handled according to preset format；Based on treated transaction data, the similarity of computing market state window and history window, if the similarity of state of market window and history window is greater than preset threshold, neighbour's set is added in the assets performance vector of next phase of the state of market window；Being gathered based on the neighbour, optimizing asset portfolio by joined the objective function of risk item.The embodiment of the present invention has carried out risk control to present mode matching strategy, can obtain the Optimal Portfolio under given risk partiality.
Description
Technical field
The present embodiments relate to field of computer technology, and in particular to a kind of portfolio optimization method that risk is controllable
And device.
Background technique
Portfolio Management is one important component part of management of investment, by suitable to selected a variety of asset allocations
Ratio between investments, obtain bigger income and undertake smaller risk simultaneously.The correlation theory of comparative maturity is modern assets at present
Combinatorial theory (Modern Portfolio Theory, abbreviation MPT), which measures the risk of single assets with variance, with list
The variance of a assets and the risk combined with the measurement of the covariance of other assets, establish least square error model, to given expection
Earning rate determines optimal asset portfolio.MPT gives a feasible method for asset portfolio problem really, but it is still
So there is many problems, and such as carrying out accurately estimation to the covariance between the variance and assets of following single assets is exactly one
Huge challenge.
The prior art provides a kind of strategy based on pattern match, which assumes the mode of asset history performance not
To reappear, thus can by it is similar to Vehicles Collected from Market in matching history at the time of help to generate portfolio ratio.Although very
More scholars support efficiet market hypothesis, it is believed that the active management of people cannot defeat market on long terms, but some pattern match
Strategy multiple all show very strong validity in the market.This aspect is to effective market hypothesis one strong time
It hits, on the other hand also illustrates such great application value of strategy.But at present to the research of pattern matching strategy also in relatively just
In the stage of grade, an apparent problem is the considerations of it has ignored to risk.This is all for investor and fund manager
It is breakneck even catastrophic.
The technology solved is needed to ask at present in consideration of it, how to provide a kind of portfolio optimization method that risk is controllable and become
Topic.
Summary of the invention
Since existing method is there are the above problem, the embodiment of the present invention proposes a kind of portfolio optimization side that risk is controllable
Method and device.
In a first aspect, the embodiment of the present invention proposes a kind of portfolio optimization method that risk is controllable, comprising:
The transaction data of trade market is obtained, and the transaction data is handled according to preset format；
Based on treated transaction data, the similarity of computing market state window and history window, if state of market window with
The similarity of history window is greater than preset threshold, then the assets performance vector of next phase of the state of market window is added one
Neighbour's set；
Being gathered based on the neighbour, optimizing asset portfolio by joined the objective function of risk item.
Optionally, it is described obtain trade market transaction data, and by the transaction data according to preset format at
Reason, comprising:
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
Optionally, the transaction data of described pair of acquisition cleans, comprising:
To in the transaction data of acquisition suspended stock and ST stock reject, and completion missing data.
Optionally, gathering based on the neighbour, optimizing asset portfolio by joined the objective function of risk item
After ratio, the method also includes:
The survey effect of returning of asset portfolio after optimization is assessed.
Optionally, the survey effect of returning of the asset portfolio after described pair of optimization is assessed, comprising:
The index of correlation for returning survey effect of asset portfolio after optimization is calculated, wherein the phase of described time survey effect
Close index, comprising: earning rate, Sharp leads to be withdrawn with maximum.
Second aspect, the embodiment of the present invention also propose a kind of portfolio optimization device that risk is controllable, comprising:
Module is obtained, is carried out for obtaining the transaction data of trade market, and by the transaction data according to preset format
Processing；
Similarity matching module, for based on treated transaction data, computing market state window to be similar to history window
Degree, if the similarity of state of market window and history window is greater than preset threshold, by the money of next phase of the state of market window
It produces performance vector and neighbour's set is added；
Optimization module optimizes group of assets by joined the objective function of risk item for gathering based on the neighbour
It closes.
Optionally, the acquisition module, is specifically used for
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
Optionally, described device further include:
Evaluation module is assessed for the survey effect of returning to the asset portfolio after optimization.
The third aspect, the embodiment of the present invention also propose a kind of electronic equipment, comprising: processor, memory, bus and storage
On a memory and the computer program that can run on a processor；
Wherein, the processor, memory complete mutual communication by the bus；
The processor realizes the above method when executing the computer program.
Fourth aspect, the embodiment of the present invention provide a kind of non-transient computer readable storage medium, the non-transient calculating
It is stored with computer program on machine readable storage medium storing program for executing, which realizes the above method when being executed by processor.
As shown from the above technical solution, a kind of controllable portfolio optimization method of risk provided in an embodiment of the present invention and
Device by obtaining the transaction data of trade market, and the transaction data is handled according to preset format, based on processing
Transaction data afterwards, the similarity of computing market state window and history window, if the similarity of state of market window and history window
Greater than preset threshold, then neighbour's set is added in the assets performance vector of next phase of the state of market window, is based on institute
State neighbour set, optimize asset portfolio by joined the objective function of risk item, as a result, to present mode matching strategy into
It has gone risk control, the Optimal Portfolio under given risk partiality can be obtained.
Detailed description of the invention
In order to more clearly explain the embodiment of the invention or the technical proposal in the existing technology, to embodiment or will show below
There is attached drawing needed in technical description to be briefly described, it should be apparent that, the accompanying drawings in the following description is only this
Some embodiments of invention for those of ordinary skill in the art without creative efforts, can be with
Other attached drawings are obtained according to these figures.
Fig. 1 is a kind of flow diagram of the controllable portfolio optimization method of risk for providing of one embodiment of the invention；
Fig. 2 is a kind of structural schematic diagram of the controllable portfolio optimization device of risk for providing of one embodiment of the invention；
Fig. 3 is the entity structure schematic diagram for the electronic equipment that one embodiment of the invention provides.
Specific embodiment
With reference to the accompanying drawing, further description of the specific embodiments of the present invention.Following embodiment is only used for more
Technical solution of the present invention is clearly demonstrated, and not intended to limit the protection scope of the present invention.
Fig. 1 shows the process signal of a kind of controllable portfolio optimization method of risk of one embodiment of the invention offer
Figure, as shown in Figure 1, the portfolio optimization method that the risk of the present embodiment is controllable, comprising:
S1, the transaction data for obtaining trade market, and the transaction data is handled according to preset format.
In a particular application, this step can be obtained by the local data of the market interface of metadata provider or reading
Take the transaction data of trade market.
S2, based on treated transaction data, the similarity of computing market state window and history window, if state of market window
It is greater than preset threshold with the similarity of history window, then the assets performance vector of next phase of the state of market window is added one
A neighbour's set.
It is understood that this step is to find similar period using the method for pattern match, subsequent step S3 is similar
The risk of asset portfolio is estimated on period, so that the estimation to risk is more accurate.
S3, being gathered based on the neighbour, optimizing asset portfolio by joined the objective function of risk item.
It is understood that optimization asset portfolio really optimizes asset portfolio ratio.
The controllable portfolio optimization method of the risk of the present embodiment, by obtaining the transaction data of trade market, and will
The transaction data is handled according to preset format, determining with Vehicles Collected from Market state window-like based on treated transaction data
The similar historical juncture window of state, by the money of next phase of all historical juncture windows similar with Vehicles Collected from Market state window-like state
It produces performance vector and forms neighbour's set, being gathered based on the neighbour, being optimized by joined the objective function of risk item
Asset portfolio combines traditional theory and mode identification technology as a result, has carried out risk control to present mode matching strategy,
It can obtain the Optimal Portfolio under given risk partiality.The present embodiment is by selecting different risk item (i.e. risk partialities
Coefficient), the methods and strategies under different risk partialities can be obtained.
Further, in the step S2, x can be definedt=(xt,1,…,xt,m) indicate the more of m assets of t phase
Factor matrix, wherein the multiple-factor vector of i-th of assetsI=1 ..., m, m are assets sum
Amount, t indicate that t phase exchange hour point, K indicate that the sub- expert tactics synthesis of selection top-K obtains final asset portfolio ratio.
Preset the long w of window, it can be assumed that state of market window Market shape before indicating the t phase
State, calculating the similarity of the state of market window and history window, (Pearson correlation coefficient or other degrees of correlation can be used in similarity
Measure Indexes), if similarity is higher than preset threshold ρ, then it is assumed that the state of market window is similar to history window state, by the market
Neighbour's set C (t is added in the assets performance vector of next phase of state window；W, ρ), neighbour set C (t；W, ρ) mathematical expression
Are as follows:
Wherein, j is w < j < t integer.
Further, in the step S3, can use is neighbour set C (t；W, ρ) optimization asset portfolio.Existing
In some pattern matching strategies, optimization aim be log earning rate and, such optimization aim has ignored risk.The present embodiment
The method proposes that risk penalty term, which is added, makes the asset portfolio of optimization consider risk information.It joined risk punishment
The objective function of itemFormula expression are as follows:
Wherein, λ is risk-aversion coefficient, | C (t；W, ρ) | it is C (t；W, ρ) size, σt(w, ρ) is the wind of asset portfolio
Danger, in which:
σt(w, ρ)=std (log (bTx))|x∈C(t；W, ρ)
It is understood that since the risk of the present embodiment is in neighbour set C (t；W, ρ) on calculate, estimated risk
Also take the past period data estimated risk more accurate than previous.
Further, on the basis of the above embodiments, the step S1 may include:
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
Specifically, the transaction data of described pair of acquisition cleans, and may include:
To in the transaction data of acquisition suspended stock and ST stock reject, and completion missing data.
It is understood that the transaction data that the present embodiment will acquire clean and handled according to preset format,
Based on cleaning, transaction data carries out subsequent portfolio optimization with treated, and obtained optimum results are more accurate.
Further, on the basis of the above embodiments, after the step S3, the method also includes:
The survey effect of returning of asset portfolio after optimization is assessed.
In a particular application, the survey effect of returning of the asset portfolio after optimization is assessed, may include:
The index of correlation for returning survey effect of asset portfolio after optimization is calculated, wherein the phase of described time survey effect
Close index, comprising: earning rate, Sharp leads to be withdrawn with maximum.
The controllable portfolio optimization method of the risk of the present embodiment, combines traditional theory and mode identification technology, right
Present mode matching strategy has carried out risk control, can obtain the Optimal Portfolio under given risk partiality, pass through selection
Different risk items (i.e. risk goal function), can obtain the methods and strategies under different risk partialities.
Fig. 2 shows a kind of structural representations of the controllable portfolio optimization device of risk of one embodiment of the invention offer
Figure, as shown in Fig. 2, the portfolio optimization device that the risk of the present embodiment is controllable, comprising: obtain module 21, Similarity matching mould
Block 22 and optimization module 23；Wherein:
The acquisition module 21, for obtaining the transaction data of trade market, and by the transaction data according to default lattice
Formula is handled；
The Similarity matching module 22, for based on treated transaction data, computing market state window and history window
Similarity, if the similarity of state of market window and history window be greater than preset threshold, by the next of the state of market window
Neighbour's set is added in the assets performance vector of phase；
The optimization module 23 is optimized for being gathered based on the neighbour by joined the objective function of risk item
Asset portfolio.
Specifically, the transaction data for obtaining module 21 and obtaining trade market, and by the transaction data according to default
Format is handled；The Similarity matching module 22, for based on treated transaction data, computing market state window and history
The similarity of window, if the similarity of state of market window and history window is greater than preset threshold, by the state of market window
Neighbour's set is added in the assets performance vector of next phase；The optimization module 23 is gathered based on the neighbour, passes through addition
The objective function of risk item optimizes asset portfolio.
In a particular application, what the acquisition module 21 can be local by the market interface of metadata provider or reading
Data obtain the transaction data of trade market.
It is understood that the Similarity matching module 22 is to find similar period using the method for pattern match, it is subsequent
The optimization module 23 estimates the risk of asset portfolio on similar period, so that the estimation to risk is more quasi-
Really.
It is understood that the optimization asset portfolio in the present embodiment really optimizes asset portfolio ratio.
The controllable portfolio optimization device of the risk of the present embodiment, combines traditional theory and mode identification technology, right
Present mode matching strategy has carried out risk control, can obtain the Optimal Portfolio under given risk partiality.The present embodiment
By selecting different risk items (i.e. risk goal function), the methods and strategies under different risk partialities can be obtained.
Further, in the Similarity matching module 22, x can be definedt=(xt,1,…,xt,m) indicate t phase m
The multiple-factor matrix of assets, wherein the multiple-factor vector of i-th of assetsI=1 ..., m, m are money
Total quantity is produced, t indicates that t phase exchange hour point, K indicate that the sub- expert tactics synthesis of selection top-K obtains final group of assets
Composition and division in a proportion example.Preset the long w of window, it can be assumed that state of market windowBefore indicating the t phase
State of market, calculate the state of market window and history window similarity (similarity can be used Pearson correlation coefficient or its
Its relatedness metric index), if similarity is higher than preset threshold ρ, then it is assumed that the state of market window is similar to history window state,
Neighbour's set C (t is added in the assets performance vector of next phase of the state of market window；W, ρ), neighbour set C (t；W, ρ) number
Learn expression are as follows:
Wherein, j is w < j < t integer.
Further, in the optimization module 23, can use is neighbour set C (t；W, ρ) optimization asset portfolio.
In existing pattern matching strategy, optimization aim be log earning rate and, such optimization aim has ignored risk.This reality
It applies the method and proposes that risk penalty term, which is added, makes the asset portfolio of optimization consider risk information.It joined risk
The objective function of penalty termFormula expression are as follows:
Wherein, λ is risk-aversion coefficient, | C (t；W, ρ) | it is C (t；W, ρ) size, σt(w, ρ) is the wind of asset portfolio
Danger, in which:
σt(w, ρ)=std (log (bTx))|x∈C(t；W, ρ)
It is understood that since the risk of the present embodiment is in neighbour set C (t；W, ρ) on calculate, estimated risk
Also take the past period data estimated risk more accurate than previous.
Further, on the basis of the above embodiments, the acquisition module 21, can be specifically used for
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
Wherein, the transaction data of described pair of acquisition cleans, and may include:
To in the transaction data of acquisition suspended stock and ST stock reject, and completion missing data.
It is understood that the transaction data that the present embodiment will acquire clean and handled according to preset format,
Based on cleaning, transaction data carries out subsequent portfolio optimization with treated, and obtained optimum results are more accurate.
Further, on the basis of the above embodiments, described device further includes not shown in the figure:
Evaluation module is assessed for the survey effect of returning to the asset portfolio after optimization.
Specifically, the evaluation module can be specifically used for
The index of correlation for returning survey effect of asset portfolio after optimization is calculated, wherein the phase of described time survey effect
Close index, comprising: earning rate, Sharp leads to be withdrawn with maximum.
The controllable portfolio optimization device of the risk of the present embodiment, combines traditional theory and mode identification technology, right
Present mode matching strategy has carried out risk control, can obtain the Optimal Portfolio under given risk partiality, pass through selection
Different risk items (i.e. risk goal function), can obtain the methods and strategies under different risk partialities.
The controllable portfolio optimization device of the risk of the present embodiment, can be used for executing the technology of preceding method embodiment
Scheme, it is similar that the realization principle and technical effect are similar, and details are not described herein again.
Fig. 3 shows the entity structure schematic diagram of a kind of electronic equipment provided in an embodiment of the present invention, as shown in figure 3, should
Electronic equipment may include: processor 31, memory 32, bus 33 and be stored on memory 32 and can transport on processor 31
Capable computer program；
Wherein, the processor 31, memory 32 complete mutual communication by the bus 33；
The processor 31 realizes method provided by above-mentioned each method embodiment when executing the computer program, such as
It include: to obtain the transaction data of trade market, and the transaction data is handled according to preset format；Based on treated
Transaction data, the similarity of computing market state window and history window, if the similarity of state of market window and history window is greater than
Then neighbour's set is added in the assets performance vector of next phase of the state of market window by preset threshold；Based on described close
Neighbour's set, optimizes asset portfolio by joined the objective function of risk item.
The embodiment of the present invention provides a kind of non-transient computer readable storage medium, is stored thereon with computer program, should
Method provided by above-mentioned each method embodiment is realized when computer program is executed by processor, for example, obtain transaction city
The transaction data of field, and the transaction data is handled according to preset format；Based on treated transaction data, city is calculated
The similarity of field state window and history window, if the similarity of state of market window and history window is greater than preset threshold, by institute
Neighbour's set is added in the assets performance vector for stating next phase of state of market window；Gathered based on the neighbour, passes through addition
The objective function of risk item optimizes asset portfolio.
It should be understood by those skilled in the art that, embodiments herein can provide as method, apparatus or computer program
Product.Therefore, complete hardware embodiment, complete software embodiment or reality combining software and hardware aspects can be used in the application
Apply the form of example.Moreover, it wherein includes the computer of computer usable program code that the application, which can be used in one or more,
The computer program implemented in usable storage medium (including but not limited to magnetic disk storage, CD-ROM, optical memory etc.) produces
The form of product.
The application be referring to according to the method, apparatus of the embodiment of the present application and the flow chart of computer program product and/or
Block diagram describes.It should be understood that each process that can be realized by computer program instructions in flowchart and/or the block diagram and/or
The combination of process and/or box in box and flowchart and/or the block diagram.It can provide these computer program instructions to arrive
General purpose computer, special purpose computer, Embedded Processor or other programmable data processing devices processor to generate one
Machine, so that being generated by the instruction that computer or the processor of other programmable data processing devices execute for realizing flowing
The device/system for the function of being specified in journey figure one process or multiple processes and/or block diagrams one box or multiple boxes.
These computer program instructions, which may also be stored in, is able to guide computer or other programmable data processing devices with spy
Determine in the computer-readable memory that mode works, so that it includes referring to that instruction stored in the computer readable memory, which generates,
Enable the manufacture of device, the command device realize in one box of one or more flows of the flowchart and/or block diagram or
The function of being specified in multiple boxes.
These computer program instructions also can be loaded onto a computer or other programmable data processing device, so that counting
Series of operation steps are executed on calculation machine or other programmable devices to generate computer implemented processing, thus in computer or
The instruction executed on other programmable devices is provided for realizing in one or more flows of the flowchart and/or block diagram one
The step of function of being specified in a box or multiple boxes.
It should be noted that, in this document, relational terms such as first and second and the like are used merely to a reality
Body or operation are distinguished with another entity or operation, are deposited without necessarily requiring or implying between these entities or operation
In any actual relationship or order or sequence.Moreover, the terms "include", "comprise" or its any other variant are intended to
Non-exclusive inclusion, so that the process, method, article or equipment including a series of elements is not only wanted including those
Element, but also including other elements that are not explicitly listed, or further include for this process, method, article or equipment
Intrinsic element.In the absence of more restrictions, the element limited by sentence "including a ...", it is not excluded that
There is also other identical elements in process, method, article or equipment including the element.Term " on ", "lower" etc. refer to
The orientation or positional relationship shown is to be based on the orientation or positional relationship shown in the drawings, and is merely for convenience of the description present invention and simplifies
Description, rather than the device or element of indication or suggestion meaning must have a particular orientation, constructed and grasped with specific orientation
Make, therefore is not considered as limiting the invention.Unless otherwise clearly defined and limited, term " installation ", " connected ",
" connection " shall be understood in a broad sense, for example, it may be being fixedly connected, may be a detachable connection, or be integrally connected；It can be
Mechanical connection, is also possible to be electrically connected；It can be directly connected, two can also be can be indirectly connected through an intermediary
Connection inside element.For the ordinary skill in the art, above-mentioned term can be understood at this as the case may be
Concrete meaning in invention.
In specification of the invention, numerous specific details are set forth.Although it is understood that the embodiment of the present invention can
To practice without these specific details.In some instances, well known method, structure and skill is not been shown in detail
Art, so as not to obscure the understanding of this specification.Similarly, it should be understood that disclose in order to simplify the present invention and helps to understand respectively
One or more of a inventive aspect, in the above description of the exemplary embodiment of the present invention, each spy of the invention
Sign is grouped together into a single embodiment, figure, or description thereof sometimes.However, should not be by the method solution of the disclosure
Release is in reflect an intention that i.e. the claimed invention requires more than feature expressly recited in each claim
More features.More precisely, as the following claims reflect, inventive aspect is less than single reality disclosed above
Apply all features of example.Therefore, it then follows thus claims of specific embodiment are expressly incorporated in the specific embodiment,
It is wherein each that the claims themselves are regarded as separate embodiments of the invention.It should be noted that in the absence of conflict, this
The feature in embodiment and embodiment in application can be combined with each other.The invention is not limited to any single aspect,
It is not limited to any single embodiment, is also not limited to any combination and/or displacement of these aspects and/or embodiment.And
And can be used alone each aspect and/or embodiment of the invention or with other one or more aspects and/or its implementation
Example is used in combination.
Finally, it should be noted that the above embodiments are only used to illustrate the technical solution of the present invention., rather than its limitations；To the greatest extent
Pipe present invention has been described in detail with reference to the aforementioned embodiments, those skilled in the art should understand that: its according to
So be possible to modify the technical solutions described in the foregoing embodiments, or to some or all of the technical features into
Row equivalent replacement；And these are modified or replaceed, various embodiments of the present invention technology that it does not separate the essence of the corresponding technical solution
The range of scheme should all cover within the scope of the claims and the description of the invention.
Claims (10)
1. a kind of portfolio optimization method that risk is controllable characterized by comprising
The transaction data of trade market is obtained, and the transaction data is handled according to preset format；
Based on treated transaction data, the similarity of computing market state window and history window, if state of market window and history
The similarity of window is greater than preset threshold, then a neighbour is added in the assets performance vector of next phase of the state of market window
Set；
Being gathered based on the neighbour, optimizing asset portfolio by joined the objective function of risk item.
2. the method according to claim 1, wherein the transaction data for obtaining trade market, and will be described
Transaction data is handled according to preset format, comprising:
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
3. according to the method described in claim 2, it is characterized in that, the transaction data of described pair of acquisition cleans, comprising:
To in the transaction data of acquisition suspended stock and ST stock reject, and completion missing data.
4. method according to any one of claim 1-3, which is characterized in that gather based on the neighbour, by adding
Enter the objective function of risk item come after optimizing asset portfolio, the method also includes:
The survey effect of returning of asset portfolio after optimization is assessed.
5. according to the method described in claim 4, it is characterized in that, the returning for asset portfolio after described pair of optimization surveys effect progress
Assessment, comprising:
The index of correlation for returning survey effect of asset portfolio after optimization is calculated, wherein the correlation of described time survey effect refers to
Mark, comprising: earning rate, Sharp leads to be withdrawn with maximum.
6. a kind of portfolio optimization device that risk is controllable characterized by comprising
Module is obtained, is handled for obtaining the transaction data of trade market, and by the transaction data according to preset format；
Similarity matching module, for based on treated transaction data, the similarity of computing market state window and history window, if
The similarity of state of market window and history window is greater than preset threshold, then shows the assets of next phase of the state of market window
Neighbour's set is added in vector；
Optimization module optimizes asset portfolio by joined the objective function of risk item for gathering based on the neighbour.
7. device according to claim 6, which is characterized in that the acquisition module is specifically used for
Obtain the transaction data of trade market；
The transaction data of acquisition is cleaned；
And the transaction data after cleaning is handled according to preset format.
8. device according to claim 6, which is characterized in that described device further include:
Evaluation module is assessed for the survey effect of returning to the asset portfolio after optimization.
9. a kind of electronic equipment characterized by comprising processor, memory, bus and storage on a memory and can located
The computer program run on reason device；
Wherein, the processor, memory complete mutual communication by the bus；
The processor realizes method according to any one of claims 1 to 5 when executing the computer program.
10. a kind of non-transient computer readable storage medium, which is characterized in that in the non-transient computer readable storage medium
It is stored with computer program, which realizes side according to any one of claims 1 to 5 when being executed by processor
Method.
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| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN111915443A (en) * | 2020-08-14 | 2020-11-10 | 国泰君安证券股份有限公司 | System and method for realizing intelligent investment product combination analysis and calculation processing |
| CN112417011A (en) * | 2019-08-22 | 2021-02-26 | 北京国双科技有限公司 | Data processing method and device |
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2018
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Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN112417011A (en) * | 2019-08-22 | 2021-02-26 | 北京国双科技有限公司 | Data processing method and device |
| CN111915443A (en) * | 2020-08-14 | 2020-11-10 | 国泰君安证券股份有限公司 | System and method for realizing intelligent investment product combination analysis and calculation processing |
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Application publication date: 20181207 |