摘要
基于上证综指2009年4月—2011年9月的财务数据,首先利用熵指数作为风险分散化程度的度量方式,使用主成分分析方法对所选财务风险进行分析。然后建立了均值—分散优化模型,不仅优化了投资组合分散化结构,使投资组合在预期收益与分散化程度之间的权衡得以量化。最后文章以时间周期型投资组合权重调整的策略构建证券组合,并利用夏普比率对其投资绩效进行了分析。通过实证分析证明,经过分散化优化管理后的投资组合绩效明显优于综合指数,有效地分散了投资风险。
Based on the financial data of Shanghai Composite Index from April, 2009 to September, 2011, this paper firstly adopted the index of entropy as a measure of the risk diversification degree and the principal component analysis to analyze the risks selected. Then, a mean-diversification optimization model was designed to optimize the portfolio diversification structure, and quantify the portfolio＇s weight between the expected returns and diversification degree. Finally, it constructed a stock portfolio with the calendar rebalancing and analyzed the investment performance with the Sharpe ratio. The empirical analysis shows that the portfolio performance of diversification optimization management is better than that of the Shanghai Composite Index, which effectively diversifies the investment risk.
出处
《华东交通大学学报》
2017年第5期134-142,共9页
Journal of East China Jiaotong University
基金
国家自然科学基金(71361009)
关键词
投资组合
风险
夏普比率
分散化
熵
portfolio
risk
Sharpe ratio
diversification
entropy
