工程管理的整体性原则对量化投资行业的启示
Journal: Engineering and Management Science DOI: 10.32629/ems.v8i5.20133
Abstract
文章将工程管理系统观的整体性原则应用于量化投资行业，发现当前该行业的研发框架在时间维度上缺乏整体性，即投资组合优化仅聚焦在单期优化上而未能考虑多期优化，该整体性的缺失限制了量化投资行业的创新方向。通过进一步分析该行业中导致单期优化达不到全局最优的原因，文章发现量化投资行业应该在使用当期信息预测下期信息、使用当期信息预测下期信息与下期收益率的协方差以及做多期组合优化这些方向上加大研究力度。
Keywords
整体性；量化投资；多期优化
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