Abstract
Investment portfolio can provide investors with a more robust financial management plan, but the uncertainty of its parameters is a key factor affecting performance. This paper conducts research on investment portfolios and constructs a two-stage mixed integer programming (TS-MIP) model, which comprehensively considers the five dimensions of profit, diversity, skewness, information entropy, and conditional value at risk. But the deterministic TS-MIP model cannot cope with the uncertainty. Therefore, this paper constructs a two-stage robust optimization (TS-RO) model by introducing robust optimization theory. In case experiments, data crawler technology is used to obtain actual data from real websites, and a variety of methods are used to verify the effectiveness of the proposed model in dealing with uncertainty. The comparison of models found that, compared with the traditional equal weight model, the investment benefits of the TS-MIP model and the TS-RO model proposed have been improved. Among them, the Sharpe ratio, Sortino ratio, and Treynor ratio have the largest increase of 19.30%, 8.25%, and 7.34%, respectively.
Highlights
Investment portfolio means that investors invest their own assets in stocks, funds, bonds, and other securities at the same time, in order to achieve higher or more stable profits under lower risk conditions
Based on the above analysis and combined investment portfolio strategy research, this paper proposes the following Two-Stage Mixed Integer Programming (TS-MIP) model, the structure of which is shown in Figure 1. e problem of outer layer maximization benefit planning mainly analyzes the maximization of income and the maximization of investment diversity and the maximization of skewness
Aiming at the investment portfolio problem, this paper comprehensively considers the five dimensions of profit, diversity, skewness, information entropy, and conditional risk value and constructs a two-stage mixed integer programming (TS-MIP) model
Summary
Investment portfolio means that investors invest their own assets in stocks, funds, bonds, and other securities at the same time, in order to achieve higher or more stable profits under lower risk conditions. In the research of portfolio optimization, the mean-risk model usually assumes that the expected profit on risky assets is subject to a known probability distribution and that the number of transactions is infinitely divided, which is not consistent with the actual situation. (i) is paper summarizes the research results of related scholars, analyzes the classical portfolio problems in depth, and proposes a deterministic TSMIP model considers the risk and diversity of investment problems. (iii) In the research of dealing with uncertainty interference, this paper introduces the theoretical method of robust optimization, constructs a TS-RO model, and applies it to the research field of investment portfolio.
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