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资产选择与最优组合权重的设置是构建投资组合的两个关键步骤,利用日内高频数据构建一个夏普指数序列来进行资产选择,同时考虑多种组合策略.以沪市A股市场数据进行样本外实证分析。结果表明,不论市场处于下行还是上行行情,基于高频夏普指数选股方法构建的组合都能得到较高的风险调整收益,并具有较小的风险,同时在最优风险组合下,能得到可观的超额收益.
Asset Selection and Optimal Combination Weighting are two key steps in the construction of investment portfolio.Using intraday high frequency data to construct a Sharp index sequence for asset selection and considering various combination strategies.A sample of the stock market in Shanghai Stock Market External empirical analysis. The results show that the portfolio constructed based on the high-frequency Sharp index stock selection method can get a higher risk-adjusted return and have a smaller risk, regardless of whether the market is in the down or up market. In the meantime, under the optimal risk portfolio, Excess return.