Equality constrained long-short portfolio replication by using probabilistic model-building GA
Equality constrained long-short portfolio replication by using probabilistic model-building GA
复制标题
使用概率模型构建 GA 进行等式约束的多空投资组合复制
DOI：
10.1109/cec.2012.6256174
复制
发表时间：
2012
期刊：
影响因子：
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通讯作者：
Y. Tsujimura
中科院分区：
文献类型：
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作者：
Y. Orito;Hisashi Yamamoto;Y. Tsujimura
投资组合复制问题是优化投资组合，使其比例加权组合与给定的基准投资组合相同。然而，基准投资组合一般只向公众开放回报，而其他信息，如投资组合所包含的资产、比例加权组合、再平衡日期和投资策略等，则不向公众开放。为了优化这样的投资组合，本文提出了一种基于概率建模遗传算法的优化方法。另一方面，我们专注于多空组合优化。多空组合包括买入并持有多头头寸的资产和借入并卖出空头头寸的资产。在对多空组合进行任何优化时，作为可行解的组合必须满足等式约束。为了有效地使可行的解决方案，我们提出了两种技术，然后将它们应用到我们的优化方法。在数值实验中，我们表明，我们的方法有更好的能力，复制的多空投资组合具有良好的适应值。然而，我们发现，尽管我们的方法效果很好，但有些投资组合并没有被复制。本文也对这一问题进行了讨论。
Portfolio replication problem is to optimize the portfolio such that its proportion-weighted combination is the same as the given benchmark portfolio. However, the benchmark portfolio generally opens only the return to the public but other information such as the assets included in the portfolio, the proportion-weighted combination, the rebalancing date and the investment strategies is closed to the public. In order to optimize such portfolios, we propose an optimization method based on the probabilistic model-building GA in this paper. On the other hand, we are focusing on the long-short portfolio optimization. The long-short portfolio consists of the assets with long positions in which they have bought and been held and with short positions in which they have been borrowed and sold. While applying any optimization method to the long-short portfolios, the portfolio as a feasible solution must be satisfied an equality constraint. In order to make the feasible solutions effectively, we propose two techniques and then apply them to our optimization method. In the numerical experiments, we show that our method has better ability to replicate the long-short portfolios with good fitness values. We found that, however, some portfolios were not replicated though our method worked well. We also discuss this problem in this paper.