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

doi:10.7523/j.issn.2095-6134.2015.04.004

Abstract

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

CLC Number:

F224
F830.59

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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