论文标题
赫斯顿市场模型中投资组合管理的先进策略
Advanced Strategies of Portfolio Management in the Heston Market Model
论文作者
论文摘要
在构建和管理投资组合时，有很多因素要考虑到。人们普遍认为，投资组合的适当设置与良好，强大的管理策略相结合是成功投资的关键。在本文中，我们旨在分析可能影响投资绩效的两个方面：资产的多样性和投资组合中的现金包括。我们还根据技术分析已知的MACD和RSI因素提出了两种新的管理策略。市场赫斯顿模型中的蒙特卡洛模拟用于执行数值实验。
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to successful investment. In this paper, we aim at an analysis of two aspects that may have an impact on investment performance: diversity of assets and inclusion of cash in the portfolio. We also propose two new management strategies based on the MACD and RSI factors known from technical analysis. Monte Carlo simulations within the Heston model of a market are used to perform numerical experiments.
