Dynamic Investment Strategy Based on Nonlinear Programming

  • Haomiao Niu North China University of Science and Technology Mathematical Modeling Innovation Lab & College of Chemical Engineering, North China University of Science and Technology
  • Hanshuo Song North China University of Science and Technology Mathematical Modeling Innovation Lab & College of Mechanical Engineering, North China University of Science and Technology
  • Huiyan Cui North China University of Science and Technology Mathematical Modeling Innovation Lab & College of science, North China University of Science and Technology
Ariticle ID: 2766
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DOI: https://doi.org/10.18282/gfr.v4i1.2766
Keywords: Stochastic Oscillator (KDJ), Moving Average Convergence and Divergence(MACD), Mean-Variance Model, Portfolio Theory

Abstract

Aiming at the trading problem of gold and bitcoin in the financial market, this paper establishes a trading strategy based on KDJ and MACD indicators, and establishes an effective frontier curve model based on the change of mean variance to determine the investment ratio, and uses Lagrange multiplier method to maximize the trader's return rate.

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Published
2022-06-01
How to Cite
Niu, H., Song, H., & Cui, H. (2022). Dynamic Investment Strategy Based on Nonlinear Programming. Global Finance Review, 4(1), 5-8. https://doi.org/10.18282/gfr.v4i1.2766
Issue
Vol. 4 No. 1 (2022)
Section
Article

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