A study on algorithm for portfolio based on the strategy of equal-risk
Yuanyuan Liu · 2005
A new algorithm based on the strategy of equal-risk,is presented in the present paper.The algorithm adopts strategy of step-by-step adjustment,and especially considering the smallest exchange fee,utilize the non-risk bank investment to do corresponding adjustments.At last the relationship between the lowest risk and the corresponding highest profit has been found.The algorithm overcomes the problem that the result is sensitive to the scale of investment,so it is a universal algorithm not relative to the scale of investment.The numerical results of the study suggest that the algorithm is very effective.