Research on the Stock Price Prediction and Portfolio Optimization Strategy Based on Regression Analysis

被引：0

作者：

Liu, Yu-Sen ^{[1
]}

Huang, Zhe ^{[2
]}

Zhao, Ru-Yu ^{[3
]}

机构：

[1] Univ Calif Berkeley, Coll Letters & Sci, Berkeley, CA 94720 USA

[2] Ohio State Univ, Art & Sci Coll, Columbus, OH 43210 USA

[3] China Youth Univ Polit Studies, Sch Econ & Management, Beijing, Peoples R China

来源：

2015 INTERNATIONAL CONFERENCE ON ENVIRONMENT, MANUFACTURING INDUSTRY AND ECONOMIC DEVELOPMENT, (EMIED 2015) | 2015年

关键词：

Stock Price Prediction; Portfolio Optimization; Regression Analysis; Modelling and Simulation; Fuzzy Set Theory;

D O I：

暂无

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This paper mainly analyzed stock price prediction and portfolio optimization strategy based on regression analysis. It is studied based on fuzzy decision theory with proportional to the cost of trading of securities portfolio optimization problem. First of all, based on absolute deviation risk function and minimax principle this paper proposes a new risk function to minimax the half absolute deviation risk function; Then, we introduced a kind of nonlinear membership function more vividly describes the investors' investment income and satisfaction with the degree of the investment risk. On this basis, we further put forward the fuzzy decision satisfaction with nonlinear portfolio selection model. In the final part, we numerically simulate the proposed methodology, the result proves the feasibility.

引用

页码：500 / 506

页数：7