论文标题
关于数据驱动的日志最佳投资组合：滑动窗口方法
On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
论文作者
论文摘要
在本文中，我们提出了一个数据驱动的滑动窗口方法，以解决日志最佳的投资组合问题。与许多现有论文相比，这种方法带来了一种交易策略，其投资组合权重而不是固定恒定权重。我们通过进行各种经验研究表明，该方法具有与经典日志最佳投资组合相比具有较高累积回报率的效果。
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than fixed constant weights. We show, by conducting various empirical studies, that the approach possesses a superior trading performance to the classical log-optimal portfolio in the sense of having a higher cumulative rate of returns.
