基于资产选择的投资组合模型与中国股市实证检验

doi:10.7523/j.issn.2095-6134.2015.04.004

中国科学院大学学报 ›› 2015, Vol. 32 ›› Issue (4): 446-452.DOI: 10.7523/j.issn.2095-6134.2015.04.004

基于资产选择的投资组合模型与中国股市实证检验

徐飏¹, 王艳², 赵子龙²

1. 中国科学院大学数学科学学院, 北京 100049;
2. 中科院数学与系统科学研究院, 北京 100190

收稿日期:2014-07-04 修回日期:2014-11-15 发布日期:2015-07-15
通讯作者: 徐飏
基金资助:
国家自然科学基金(11371354)资助

Portfolio selection based on asset selection and the empirical study in Chinese stock market

XU Yang¹, WANG Yan², ZHAO Zilong²

1. School of Mathematical Sciences, University of Chinese Acadamy of Sciences, Beijing 100049, China;
2. Academy of Mahtematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received:2014-07-04 Revised:2014-11-15 Published:2015-07-15

摘要/Abstract

摘要： Lars-Lasso回归算法是近年来统计选元的一个新兴方法.针对资产数量众多的投资市场,本文将Lars-Lasso方法运用到资产配置的第一步资产选择中,针对已选择的小数量资产进行资产组合配置.对中国沪深股市股票进行实证分析.结果证明,在Lasso选元下得到的投资组合总体表现优于市场指数.

关键词: 资产选择, 投资组合策略, 均值-方差, 均值-CVaR

Abstract: Lars-Lasso regression algorithm is a popular statistical element method. For the investment markets with large amount of assets, we apply the Lars-Lasso method to the asset selection, which is the first step of portfolio selection, and then use the portfolio optimization model. The utility of this approach is illustrated by empirical studies on Chinese stock market, and it is verified to have better performance than the market index.

Key words: asset selection, portfolio strategy, mean-variance, mean-CVaR

中图分类号:

F224
F830.59

徐飏, 王艳, 赵子龙. 基于资产选择的投资组合模型与中国股市实证检验[J]. 中国科学院大学学报, 2015, 32(4): 446-452.

XU Yang, WANG Yan, ZHAO Zilong. Portfolio selection based on asset selection and the empirical study in Chinese stock market[J]. , 2015, 32(4): 446-452.

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基于资产选择的投资组合模型与中国股市实证检验

Portfolio selection based on asset selection and the empirical study in Chinese stock market

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