A profitable trading and risk management strategy despite transaction costs
提出一种考虑交易成本的自适应等权投资组合交易与风险管理策略，利用谱分析和规则专家系统进行日常决策，在1998-2008年标普500和1995-2007年罗素2000股票上跑赢市场，蒙特卡洛模拟验证了结果。
We present a new profitable trading and risk management strategy with transaction cost for an adaptive equally weighted portfolio. Moreover, we implement a rule-based expert system for the daily financial decision-making process using the power of spectral analysis. We use several key components such as principal component analysis, partitioning, memory in stock markets, percentile for relative standing, the first four normalized central moments, learning algorithm, and switching among several investment positions consisting of short stock market, long stock market and money market with real risk-free rates. We find that it is possible to beat the proxy for the equity market without short selling for 168 S&P 500-listed stocks during the 1998–2008 period and 213 Russell 2000-listed stocks during the 1995–2007 period. Our Monte Carlo simulation for both the various set of stocks and the interval of time confirms our findings.