系统管理学报2025，Vol.34Issue(3)：780-789,10.DOI:10.3969/j.issn2097-4558.2025.03.013
基于反转效应的竞争性在线投资组合策略
A Competitive Online Portfolio Strategy Based on Reversal Effect
摘要
Abstract
Reversal online portfolio strategy can make full use of the reversal effect in the stock market,and the backtest results on most data sets show that the reversal online portfolio strategy can obtain higher cumulative returns.Based on the reversal effect of stock price in the financial market,an expert opinion pool is constructed and a competitive online portfolio by aggregating expert opinions is established.First,the reversal effect of stock prices in windows is used to construct investment strategies representing the expert opinion,and expert opinion pools are obtained based on different window lengths.Then,a weak aggregating algorithm is used to assign trust weight to each expert,and an online portfolio strategy is constructed by aggregating expert opinions.The competitive performance analysis proves that the strategy constructed can follow the offline optimal expert opinion.The numerical results show that the performance of the strategy is better than that of online strategies related.关键词
在线投资组合/弱集成算法/反转效应/竞争性策略Key words
online portfolio/weak aggregating algorithm/reversal effect/competitive strategy分类
管理科学引用本文复制引用
张永,詹晓丹,杨兴雨,林虹..基于反转效应的竞争性在线投资组合策略[J].系统管理学报,2025,34(3):780-789,10.基金项目
国家自然科学基金资助项目(72371080) （72371080）
广东省自然科学基金资助项目(2024A1515012670,2023A1515012840) （2024A1515012670,2023A1515012840）
