| 摘要(英) |
When it comes to the research of investing decision, three strategies should be considered at the same time, including stock selection strategies, market timing strategies, and capital allocation strategies. However, complicated interactive relations exist among the three strategies. In the past, the three strategies were studied independently to simplify the question.
The presented study proposes a framework, Investing Strategy Portfolio, combining stock selection strategies, market timing strategies, and capital allocation strategies. The concept of the framework is based on that of traditional portfolio investing. Nevertheless, unlike traditional portfolio investing which only one market timing strategy is used to decide when to buy or sell all stocks, this framework propose a strategy of ranking procedure which can help to decide what stocks should be picked up and when they should be bought/sold at the same time. Therefore, different market timing strategies rather than a unitary market timing strategy can be used. In addition, we weigh the allocation of capital to get most profit by Combination Genetic Algorithms in search optimization.
This present framework is divided into two types, including Simple Portfolio Investing Strategy and Advanced Portfolio Investing Strategy. Moreover, we use the data from 2003 to 2005. The results of the experiments show that both simple portfolio investing strategy and advanced portfolio investing strategy have excellent performance; however, tactics of going long and going short could influence the performance since it is difficulty to decide when to go short in bull market. Another discovery is that we can eliminate some overfitting investing strategy to improve the profitability of the present framework. |
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