Creating investment scheme with state space modeling

作者：

Highlights：

• A unified approach to create investor’s desirable portfolio.

• A new interpretation for state-space model to attain various investment objectives.

• Particle filtering ensures the general applicability of our scheme.

• Numerics: creating alpha over S&P500 and well-performing mean-variance portfolio.

摘要

•A unified approach to create investor’s desirable portfolio.•A new interpretation for state-space model to attain various investment objectives.•Particle filtering ensures the general applicability of our scheme.•Numerics: creating alpha over S&P500 and well-performing mean-variance portfolio.

论文关键词：State space models,Particle filtering,Financial investment,Risk-return profile,Risk-adjusted returns,Alpha

论文评审过程：Received 28 January 2017, Revised 1 March 2017, Accepted 21 March 2017, Available online 22 March 2017, Version of Record 30 March 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.03.045