带交易费用的在线投资组合策略

何锦安 袁佳鑫 赖明聪 张士瑜

摘要：由于股票交易中实际存在的交易费用是影响投资决策的一个重要因素，考虑带交易费用的在线投资组合策略。大幅度调整股票头寸会产生较高的交易费用，将上一期策略与所有历史数据对应的最优定常再调整策略进行加权平均，设计了一个在线投资组合策略。考虑到股票市场往往波动剧烈，过去较长时间的历史数据对当前的投资决策影响不大，仅利用近期固定时间长度的历史数据构造策略，设计了一个适应性的在线投资组合策略。在考虑交易费用的情况下对策略进行实证分析，结果表明策略仍然具有较好的性能。

Abstract： As transaction costs exist in the actual stock trading is an important factor in investment decision making， this article presents an online portfolio strategy with transaction costs. As we all know， massively adjustment of portfolios brings large transaction costs. According to the latest portfolio and the corresponding best constant rebalanced portfolio based on historical data， we compute weighted mean and design an online portfolio strategy. The stock market always fluctuates intensely， so the stock prices far from now have little impact on the current investment decision， and thus we design online portfolio strategy only basing on the recent fixed length of historical data. An empirical analysis is carried out in consideration of transaction costs， which shows that the strategy has a better performance.

关键词：在线投资组合；交易费用；实证分析

Key words： online portfolio；transaction costs；empirical analysis

中图分类号：F830.59 文献标识码：A 文章编号：1006-4311（2017）01-0156-02