Date: Sept. 9, 2021

Source: College of Information Science and Technology

ACM Computing Surveys (CSUR), a top-level international journal in the computer world, has published a paper by Lai Zhaorong and his team from JNU's College of Information Science and Technology, the Guangdong Provincial Engineering Research Center for Quantitative Finance and Big Data, and the Laboratory of Intelligence and Data Security. JNU is the first completion unit. Associate Prof. Lai of JNU's mathematics department, is the first author, and Associate Prof. Yang Haisheng of Lingnan College of Sun Yat-sen University is the corresponding author.

The paper, A Survey on Gaps Between Mean-Variance Approach and Exponential Growth Rate Approach for Portfolio Optimization, delineates the two main models in portfolio optimization -- mean-variance and exponential growth rate -- and their differences. Despite undertaking the same task, the two are quite different in terms of theoretical foundations, trading logic, optimization objectives and methodology. The former focuses more on statistical assumption and statistical estimation methods, while the latter stresses the mode and rule of asset operation. In addition, the paper provides a framework for assessing the optimization algorithm of asset portfolio and discusses some unsolved problems.

Supported by JNU's Guangdong Provincial Engineering Research Center for Quantitative Finance and Big Data and the Laboratory of Intelligence and Data Security, this research was funded by the National Natural Science Foundation of China, the National Natural Science Foundation Youth Project, the Science and Technology Planning Project of Guangdong, and the Science and Technology Program of Guangzhou.