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Application Research In Stock Selection And Optimization Strategies Of Portfolio Investment

Posted on:2013-01-19Degree:MasterType:Thesis
Country:ChinaCandidate:H MaFull Text:PDF
GTID:2219330371455814Subject:Computer system architecture
Abstract/Summary:PDF Full Text Request
Securities investors (including institutions and many individual investors) have been looking for better stock-selecting strategies and algorithms to achieve maximum benefits, but influenced by many factors including company's business situation, country policy, economic environment, war, natural calamities, etc., it is difficult to predict the trend of stocks, no one can guarantee profits.The research of this paper involves two aspects of stock selection and optimization strategies:①In the market and single stock unpredictable and relative volatility of stock back and forth premise,research how to use the relative volatility of stock gains a model than the market profit.②To control risk on stock selection phase of the investment portfolio),research how to scientific configuration investment proportion and make users get a balance between benefit maximization and risk minimization.This paper mainly research work is summarized as follows:1. In the securities market based on fundamental analysis and technical analysis,this paper, from the thought of arbitrage, dig a new profit model of portfoliomake use of the relative volatility of stocks and gain profit by back and forth exchange.this paper also research stock selection algorithm on the model. According to the fact that stock selection algorithm needs to match stock between each other calculating volatility and complexity of algorithm is o(n2), this paper propose parallel algorithm and cluster computing solutions in order to reduce the computational time. By simulation tests with historical data, the algorithm of the availability and effectiveness is confirmed.2. The optimal allocation algorithm is given on stock industry.Because the protfolio geted by stock selection phrase belongs to different industries, the investors grasp the proportion of funds from the macro by the growth of industry and related economic indicators.Firstly,this paper research quantitative analysis about industries,it provides data support and reference.3. The optimal allocation algorithm is given on individual of portfolio.The algorithm model is depended on settings of many constrains,including industry investment ration constraint,beta constrains,alpha constrains and the expected return etc,and is solved by quadratic programming,to guide investors in the stock alloction ration. This paper proceeds with risk assessment for the configuration results from different point of view and reminds users by figuring out the portfolio's systematic risk and non-systematic risk. It enables investors to obtain the compromise between profits and risks.4. Design and implementation of prototype system. According to the earnings model of the stock investment and results of the study, This paper designs and implements an prototype system with computer software architecture,algorithms, communications,mathematics,finance and operations research etc.Practice and experiments show that this research work and related results provide a good reference in the aspect of portfolio stock- selection and optimization of investment ratio for investors. A available prototype system is implemented,the effectiveness of stock selection algorithm and the utility of configuration results has been verified.
Keywords/Search Tags:portfolio, relative volatility, stock-selecting, optimal configuration, risk analysis
PDF Full Text Request
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