Abstract
Trading agents are very useful for supporting investors in making decisions in financial markets, but the existing trading agent research focuses on simulation on artificial data. This leads to limitations in its usefulness. As for investors, how trading agents help them manipulate their assets according to their risk appetite and thus obtain a higher return is a big issue. Portfolio optimization is an approach used by many researchers to resolve this issue, but the focus is mainly on developing more accurate mathematical estimation methods, and overlooks an important factor: trading strategy. Since the global financial crisis added uncertainty to financial markets, there is an increasing demand for trading agents to be more active in providing trading strategies that will better capture trading opportunities. In this paper, we propose a new approach, namely trading strategy based portfolio selection, by which trading agents combine assets and their corresponding trading strategies to construct new portfolios, following which, trading agents can help investors to obtain the optimal weights for their portfolios according to their risk appetite. We use historical data to test our approach, the results show that it can help investors make more profit according to their risk tolerance by selecting the best portfolio in real financial markets.
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Cao, W., Wang, C., Cao, L. (2013). Trading Strategy Based Portfolio Selection for Actionable Trading Agents. In: Cao, L., Zeng, Y., Symeonidis, A.L., Gorodetsky, V.I., Yu, P.S., Singh, M.P. (eds) Agents and Data Mining Interaction. ADMI 2012. Lecture Notes in Computer Science(), vol 7607. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-36288-0_17
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DOI: https://doi.org/10.1007/978-3-642-36288-0_17
Publisher Name: Springer, Berlin, Heidelberg
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