| 总收益最大的交易策略求解算法 |
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| 引用本文： | 李志生,蒋元涛.总收益最大的交易策略求解算法[J].中南财经政法大学学报,2007(4):86-91. |
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| 作者姓名： | 李志生 蒋元涛 |
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| 作者单位： | 中南财经政法大学新华金融保险学院 武汉430073(李志生)，上海海事大学经济管理学院 上海200135(蒋元涛) |
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| 摘 要： | 本文应用动态规划的原理,讨论了多期投资决策中基于总收益率最大的交易策略的设计和实现问题。通过比较随机交易方法、局部最优方法和全局最优方法下的投资表现,在交易费用存在的情况下,基于动态规划的算法给出问题的全局最优解,该方法的优越性随着交易费用的增长而加强。
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| 关 键 词： | 交易策略 交易费用 动态规划 |
| 文章编号： | 1003-5230（2007）04-0086-06 |
| 修稿时间： | 2007-05-19 |
On Return-optimal Trading Strategy Algorithm |
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| LI Zhi-sheng,JIANG Yuan-tao.On Return-optimal Trading Strategy Algorithm[J].Journal of Zhongnan University of Finance and Economics,2007(4):86-91. |
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| Authors: | LI Zhi-sheng JIANG Yuan-tao |
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| Abstract: | The core decision in optimal trading strategy design is to make sequential selections from candidate finance products at different time in a specified period.Based on dynamic programming,this article devotes to solve the return optimal trading strategy designing problem,in which the optimal trading strategy is defined as a set of rules that guide a trader in his trading decisions for the purpose of maximizing cumulative return.Using the data from US security market,we compare the performance of a random trading strategy,a local optimal strategy and the global optimal strategy.The empirical study shows the global strategy is more effective and efficient compared with the other two. |
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| Keywords: | Trading Strategy Transaction Costs Dynamic Programming |
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