A study of asset portfolio risk control based on stochastic optimization
This paper analyzes the main methods of stochastic optimization algorithms to construct a stochastic optimization model. The focus is on the calculation method for risk minimization, combined with the SGD algorithm to guarantee the speed of sublinear convergence. The mean variance of the risk evalua...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2024-01-01
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| Series: | Applied Mathematics and Nonlinear Sciences |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/amns.2023.2.00884 |
| _version_ | 1797340716789137408 |
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| author | Bai Yucui Chen Ran Liu Lin Luo Yi |
| author_facet | Bai Yucui Chen Ran Liu Lin Luo Yi |
| author_sort | Bai Yucui |
| collection | DOAJ |
| description | This paper analyzes the main methods of stochastic optimization algorithms to construct a stochastic optimization model. The focus is on the calculation method for risk minimization, combined with the SGD algorithm to guarantee the speed of sublinear convergence. The mean variance of the risk evaluation model is determined by constructing the objective function and constraints, and the investor’s risk is minimized based on calculating the minimum variance of the model. The asset portfolio risk evaluation model can accurately describe the risk of different industries, as demonstrated by the results. According to the correlation coefficient reality, the correlation between industry indices is relatively strong, where the correlation coefficient between raw materials and the optional consumption industry is 0.865, and the correlation coefficient between the optional consumption industry and the financial industry is 0.697. |
| first_indexed | 2024-03-08T10:07:16Z |
| format | Article |
| id | doaj.art-f1e6368b63764225970ed0725b936985 |
| institution | Directory Open Access Journal |
| issn | 2444-8656 |
| language | English |
| last_indexed | 2024-03-08T10:07:16Z |
| publishDate | 2024-01-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Applied Mathematics and Nonlinear Sciences |
| spelling | doaj.art-f1e6368b63764225970ed0725b9369852024-01-29T08:52:37ZengSciendoApplied Mathematics and Nonlinear Sciences2444-86562024-01-019110.2478/amns.2023.2.00884A study of asset portfolio risk control based on stochastic optimizationBai Yucui0Chen Ran1Liu Lin2Luo Yi31Department of Accounting, Shijiazhuang Information Engineering Vocational College, Shijiazhuang, Hebei, 050000, China.1Department of Accounting, Shijiazhuang Information Engineering Vocational College, Shijiazhuang, Hebei, 050000, China.1Department of Accounting, Shijiazhuang Information Engineering Vocational College, Shijiazhuang, Hebei, 050000, China.1Department of Accounting, Shijiazhuang Information Engineering Vocational College, Shijiazhuang, Hebei, 050000, China.This paper analyzes the main methods of stochastic optimization algorithms to construct a stochastic optimization model. The focus is on the calculation method for risk minimization, combined with the SGD algorithm to guarantee the speed of sublinear convergence. The mean variance of the risk evaluation model is determined by constructing the objective function and constraints, and the investor’s risk is minimized based on calculating the minimum variance of the model. The asset portfolio risk evaluation model can accurately describe the risk of different industries, as demonstrated by the results. According to the correlation coefficient reality, the correlation between industry indices is relatively strong, where the correlation coefficient between raw materials and the optional consumption industry is 0.865, and the correlation coefficient between the optional consumption industry and the financial industry is 0.697.https://doi.org/10.2478/amns.2023.2.00884stochastic optimization algorithmminimum variancemean-variancerisk evaluationsgd algorithm91b44 |
| spellingShingle | Bai Yucui Chen Ran Liu Lin Luo Yi A study of asset portfolio risk control based on stochastic optimization Applied Mathematics and Nonlinear Sciences stochastic optimization algorithm minimum variance mean-variance risk evaluation sgd algorithm 91b44 |
| title | A study of asset portfolio risk control based on stochastic optimization |
| title_full | A study of asset portfolio risk control based on stochastic optimization |
| title_fullStr | A study of asset portfolio risk control based on stochastic optimization |
| title_full_unstemmed | A study of asset portfolio risk control based on stochastic optimization |
| title_short | A study of asset portfolio risk control based on stochastic optimization |
| title_sort | study of asset portfolio risk control based on stochastic optimization |
| topic | stochastic optimization algorithm minimum variance mean-variance risk evaluation sgd algorithm 91b44 |
| url | https://doi.org/10.2478/amns.2023.2.00884 |
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