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Dynamic Investment Strategy Based on Nonlinear Programming

Haomiao Niu, Hanshuo Song, Huiyan Cui


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.


Stochastic Oscillator (KDJ); Moving Average Convergence and Divergence(MACD); Mean-Variance Model; Portfolio Theory

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DOI: http://dx.doi.org/10.18686/fm.v7i5.6554