This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewhere. The MPM uses XGBoost to learn how to switch between two risk-based portfolio allocation strategies, the Hierarchical Risk Parity (HRP) and more classical Na\"ive Risk Parity (NRP). It is demonstrated that the MPM is able to successfully take advantage of the best characteristics of each strategy (the NRP's fast growth during market uptrends, and the HRP's protection against drawdowns during market turmoil). As a result, the MPM is shown to possess an excellent out-of-sample risk-reward profile, as measured by the Sharpe ratio, and in addition offers a high degree of interpretability of its asset allocation decisions.
翻译:这项工作提出了一种新的组合管理技术,即Meta组合法(MPM),它受生物信息学领域和其他地方的元方法的成功启发。MPM使用XGBost来学习如何在两种基于风险的组合分配战略之间转换,即等级风险均等(HRP)和更经典的纳格风险均等(NRP)之间。这证明MPM能够成功地利用每项战略的最佳特点(NRP在市场上升趋势期间的快速增长,以及HRP在市场动荡期间不受缩减的保护 ) 。 结果,MPM显示,MPM拥有以夏普比率衡量的极好的超出抽样风险回报情况,此外,还提供了其资产分配决定的高度可解释性。