We apply the recurrent reinforcement learning method of Moody, Wu, Liao, and Saffell (1998) in the context of the strategic asset allocation computed for sample data from US, UK, Germany, and Japan. It is found that the optimal asset allocation deviates substantially from the fixed-mix rule. The investor actively times the market and he is able to outperform it consistently over the almost two decades we analyze. Copyright Springer Science+Business Media, LLC 2007
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机译:在针对美国,英国,德国和日本的样本数据计算出的战略资产分配的背景下,我们采用了穆迪,吴,廖和萨菲(1998)的递归强化学习方法。发现最优资产分配与固定混合规则大不相同。投资者积极地对市场进行计时,在我们分析的近二十年中,他一直能够超越市场。版权所有Springer Science + Business Media,LLC 2007
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