Investment portfolio optimization method and device based on group decision intelligent search

Abstract

The invention discloses an investment portfolio optimization method and device based on group decision intelligent search. The method comprises the following steps: establishing a yield prediction model based on group decision, regarding different prediction methods as decision experts, constructing a mapping relationship between a characteristic index set and the yield, introducing a group decision thought, and synthesizing results of three different decision models in a group aggregation mode to obtain a final investment portfolio asset target; on the basis, an intelligent optimization search method is introduced to set the weight of each object, including defining of a coding function; initializing weight random assignment; calculating individual fitness; judging whether the precision meets the requirement; and dynamically adjusting the investment portfolio according to the actual operation result and the evaluation index. According to the invention, dynamic autonomous constructionof investment portfolios is realized, a portfolio scheme can be adaptively adjusted according to an actual operation effect, and the purposes of effectively reducing non-systematic risks of portfoliosand obtaining stable excess earnings are achieved.

Description

technical field [0001] The invention relates to the field of financial technology analysis, in particular to an investment portfolio optimization method and device based on group decision-making intelligent search. Background technique [0002] In the field of financial investment, since the financial market is a very complex system, it is full of various uncertainties. In such a complex financial market, how financial institutions or individual investors use quantitative investment equipment to effectively control risks while pursuing high returns is a major technical issue. Therefore, how to construct quantitative investment equipment for investment portfolios is a core issue in financial engineering. [0003] The fundamental purpose of an investment portfolio is to diversify risks. Both institutional and individual investors want to maximize returns while reducing some investment risks as much as possible. Although the portfolio method and equipment based on the traditi...

AI Technical Summary

Problems solved by technology

Although the portfolio method and equipment based on the traditional Markowitz mean-variance model provide a deterministic solution method and equipment for solving the portfolio optimization problem, there are often a large number of problems in the actual application process of the method and equipment based on this model. The limitations of:

In the standard Markowitz model, the influence of these objective factors is not considered

[0005] (2) The model is essentially a nonlinear programming problem, which is an NP-hard problem. When the data scale is large and the dimension is high, it becomes very difficult to use traditional algorithms to solve it.

[0006] (3) Financial data is mixed with various noises, the existence of noise will affect the accuracy of the data, and then affect the construction and optimization of investment portfolios

[0007] In addition, the actual financial market is an ever-changing complex system with various influencing factors. In practical applications, deterministic methods are no longer applicable. For example, Chinese patent CN201310392725 discloses a method for predicting the volatility of stocks or stock portfolios , devices, but all of them are traditional methods, based on the determined investment portfolio, the determined weight value, and the parameter estimation to predict the volatility of the future investment portfolio. In terms of method, it does not break away from the original framework. Does not solve the problems and disadvantages listed above

In addition, if the scale of the processed data becomes too large, the solution cannot be solved, and the influence of certain constraints greatly reduces the accuracy of such methods and equipment

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