摘 要：文章根据 2016 至 2021 年黄金和比特币收盘价数据，从收益与风险两个角度出发，建立了一种基于 ARIMA 和风险评估的组合投资综合评价模型，同时结合投资人的主观投资意愿，提出了一种考虑交易成本的投资策略，以实现高回报的组合投资。结果表明，黄金与比特币的风险时间上大致相抵；在初始只持有一千美元现金和佣金比例一定等条件下，五年投资的最终总资产约为 1 697.74 万美元，收益率为 1 697 640%。实测分析中的总资产约为 53.26 亿美元，约是预测时的 314 倍。
关键词：牛市 - 熊市模型；ARIMA；综合评价；投资组合
DOI:10.19850/j.cnki.2096-4706.2022.23.026
中图分类号：TP391 文献标识码：A 文章编号：2096-4706（2022）23-0098-05
Research on Investment Portfolio Based on ARIMA and Comprehensive Evaluation Method —Taking the Gold and Bitcoin as an Example
HUANG Lishan
(School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China)
Abstract: According to the closing price data of gold and Bitcoin from 2016 to 2021, this paper establishes a comprehensive evaluation model of portfolio investment based on ARIMA and risk assessment from the perspectives of income and risk. At the same time, combined with subjective will of investors, this paper proposes an investment strategy that considers transaction cost to achieve high-return portfolio investments. The results show that the risk time of gold and Bitcoin can be roughly offset. Under the conditions of only $1,000 initial cash and a certain ratio of commission, the final total assets of five-year investment is about $16.977 4 million, and the return rate is 1 697 640%. The total assets in the measured analysis are about $5.326 billion, which is about 314 times of the forecast.
Keywords: Bull-Bear Model; ARIMA; comprehensive evaluation; investment portfolio
参考文献：
[1] MARKOWITZ H.Portfolio Selection [J].The Journal of Finance，1952，7（1）：77-91.
[2] SHARPE W F.Capital Asset Prices：A Theory of Market Equilibrium under Conditions of Risk [J].The Journal of Finance， 1964，19（3）：425-442.
[3] BLACK F，LITTERMAN R B.Asset Allocation：Combining Investor Views with Market Equilibrium [J].The Journal of Fixed Income，1991，1（2）：7-18.
[4] BLACK F，LITTERMAN R.Global Portfolio Optimization [J]. Financial Analysts Journal，1992，48（5）：28-43.
[5] MOSSIN J.Optimal Multiperiod Portfolio Policies [J].The Journal of Business，1968，41（2）：215-229.
[6] ARIYO A A，ADEWUMI A O，AYO C K.Stock Price Prediction Using the ARIMA Model [C]//2014 UKSim-AMSS 16th International Conference on Computer Modelling and Simulation. Cambridge：IEEE，2014：106-112.
[7] The London Bullion Market Association.International Prices for Gold，Silver，Platinum and Palladium [EB/OL].[2022-07-16].https:// www.lbma.org.uk/prices-and-data/precious-metal-prices#/table.
[8] Nasdaq Data Link.Average USD market price across Major Bitcoin Exchanges [EB/OL].[2022-07-17].https://data.nasdaq.com/data/ BCHAIN/MKPRU-bitcoin-market-price-usd.
作者简介：黄丽珊（2001.01—），女，汉族，广东湛江人，本科在读，研究方向：数据分析。