A Portfolio Selection Strategy Based on the Peak Price Involving Randomness
We propose a system based on the peak price involving randomness (PPR) for the portfolio selection. In the light of the relative price forecast in the paper entitled “reweighted price relative tracking system for automatic portfolio optimization” by Lai et al., which automatica...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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IEEE
2023-01-01
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| Series: | IEEE Access |
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| Online Access: | https://ieeexplore.ieee.org/document/10130540/ |
| _version_ | 1797810628118708224 |
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| author | Binhong Li Jiaxi Luo Hongjie Xu |
| author_facet | Binhong Li Jiaxi Luo Hongjie Xu |
| author_sort | Binhong Li |
| collection | DOAJ |
| description | We propose a system based on the peak price involving randomness (PPR) for the portfolio selection. In the light of the relative price forecast in the paper entitled “reweighted price relative tracking system for automatic portfolio optimization” by Lai et al., which automatically assigns different weights to the predicted relative price based on the performance of each asset, we will determine the proportion of each stock by the three factors: The average price of the daily price divided by current price, the ratio of the peak price of daily price to current price, and the random value of the relative price of stock in the time window. A large number of the experiments on the five datasets show that the PPR is superior to some recent portfolio selection system in many aspects. These results suggest that the PPR is an efficient automatic portfolio optimization system, at least on the datasets. |
| first_indexed | 2024-03-13T07:11:42Z |
| format | Article |
| id | doaj.art-40980c0d26b24e1ebd4ff72b8e1906d8 |
| institution | Directory Open Access Journal |
| issn | 2169-3536 |
| language | English |
| last_indexed | 2024-03-13T07:11:42Z |
| publishDate | 2023-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | IEEE Access |
| spelling | doaj.art-40980c0d26b24e1ebd4ff72b8e1906d82023-06-05T23:00:46ZengIEEEIEEE Access2169-35362023-01-0111520665207410.1109/ACCESS.2023.327898010130540A Portfolio Selection Strategy Based on the Peak Price Involving RandomnessBinhong Li0https://orcid.org/0009-0007-3821-7984Jiaxi Luo1Hongjie Xu2Department of Mathematics, College of Information Science and Technology, Jinan University, Guangzhou, ChinaDepartment of Mathematics, College of Information Science and Technology, Jinan University, Guangzhou, ChinaDepartment of Mathematics, College of Information Science and Technology, Jinan University, Guangzhou, ChinaWe propose a system based on the peak price involving randomness (PPR) for the portfolio selection. In the light of the relative price forecast in the paper entitled “reweighted price relative tracking system for automatic portfolio optimization” by Lai et al., which automatically assigns different weights to the predicted relative price based on the performance of each asset, we will determine the proportion of each stock by the three factors: The average price of the daily price divided by current price, the ratio of the peak price of daily price to current price, and the random value of the relative price of stock in the time window. A large number of the experiments on the five datasets show that the PPR is superior to some recent portfolio selection system in many aspects. These results suggest that the PPR is an efficient automatic portfolio optimization system, at least on the datasets.https://ieeexplore.ieee.org/document/10130540/Automatic portfolio optimizationaverage pricepeak pricerandom value |
| spellingShingle | Binhong Li Jiaxi Luo Hongjie Xu A Portfolio Selection Strategy Based on the Peak Price Involving Randomness IEEE Access Automatic portfolio optimization average price peak price random value |
| title | A Portfolio Selection Strategy Based on the Peak Price Involving Randomness |
| title_full | A Portfolio Selection Strategy Based on the Peak Price Involving Randomness |
| title_fullStr | A Portfolio Selection Strategy Based on the Peak Price Involving Randomness |
| title_full_unstemmed | A Portfolio Selection Strategy Based on the Peak Price Involving Randomness |
| title_short | A Portfolio Selection Strategy Based on the Peak Price Involving Randomness |
| title_sort | portfolio selection strategy based on the peak price involving randomness |
| topic | Automatic portfolio optimization average price peak price random value |
| url | https://ieeexplore.ieee.org/document/10130540/ |
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