Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

被引：9

作者：

Mulvey, John M. ^{[1
]}

Sun, Yifan ^{[2
]}

Wang, Mengdi ^{[1
]}

Ye, Jing ^{[1
]}

机构：

[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

[2] Carnegie Mellon Univ, Dept Math Sci, Pittsburgh, PA 15213 USA

来源：

QUANTITATIVE FINANCE | 2020年 / 20卷 / 08期

关键词：

Asset allocation; Portfolio allocation; Portfolio optimization; Statistical learning theory; Stochastic programming; PARTIAL-DIFFERENTIAL-EQUATIONS; OPTIMAL INVESTMENT; SELECTION; CONSUMPTION; OPTIMIZATION; RETURNS; MODEL; APPROXIMATION; DECISIONS; RULES;

D O I：

10.1080/14697688.2020.1729994

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Optimizing a portfolio of mean-reverting assets under transaction costs and a finite horizon is severely constrained by the curse of high dimensionality. To overcome the exponential barrier, we develop an efficient, scalable algorithm by employing a feedforward neural network. A novel concept is to apply HJB equations as an advanced start for the neural network. Empirical tests with several practical examples, including a portfolio of 48 correlated pair trades over 50 time steps, show the advantages of the approach in a high-dimensional setting. We conjecture that other financial optimization problems are amenable to similar approaches.

引用

页码：1239 / 1261

页数：23

共 50 条

[41] Optimizing feedforward artificial neural network architecture
Benardos, P. G.
Vosniakos, G. -C.
ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE, 2007, 20 (03) : 365 - 382
[42] A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
Irle, Albrecht
Prelle, Claas
STATISTICS & RISK MODELING, 2009, 27 (03) : 211 - 233
[43] A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs
Papanicolaou, Andrew
Fu, Hao
Krishnamurthy, Prashanth
Khorrami, Farshad
IEEE ACCESS, 2023, 11 : 16774 - 16792
[44] The mean-semivariances approach to realistic portfolio optimization subject to transaction costs
Hamza, F
Janssen, J
APPLIED STOCHASTIC MODELS AND DATA ANALYSIS, 1998, 14 (04): : 275 - 283
[45] A mean-semi-variance portfolio optimization Model With Full Transaction costs
Ma, Yuhong
Gong, Xuewen
Tian, Guilong
2014 6TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND COMMUNICATION NETWORKS, 2014, : 623 - 627
[46] Mean-absolute deviation portfolio optimization model under transaction costs
Konno, H
Wijayanayake, A
JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 1999, 42 (04) : 422 - 435
[47] Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Levy housing price process
Gong, Xiaoye
Li, Ying
Wu, Yang-Che
Yang, Wan-Shiou
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 551
[48] Mean-variance portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
Yuelin, Gao
Yuhong, Li
International Conference on Management Innovation, Vols 1 and 2, 2007, : 509 - 513
[49] Mean-CVaR portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
Gao, Yuelin
Sun, Ying
Li, Yuhong
ICIC 2009: SECOND INTERNATIONAL CONFERENCE ON INFORMATION AND COMPUTING SCIENCE, VOL 1, PROCEEDINGS, 2009, : 79 - 82
[50] Portfolio optimization with transaction costs: a two-period mean-variance model
Fu, Ying Hui
Ng, Kien Ming
Huang, Boray
Huang, Huei Chuen
ANNALS OF OPERATIONS RESEARCH, 2015, 233 (01) : 135 - 156

← 1 2 3 4 5 →