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本文以新的VaR风险控制体系和价格条件的VaR理论为基础,建立了一种新的最优投资组合模型——μ_s-VaR_s模型。其主要特点有:首先,μ_s-VaR_s模型主要关注相对价格的预期收益和风险,在没有股指期货对冲大盘指数风险的条件下,该模型可以为投资组合跑赢大盘提供了科学思路;其次,在μ_s-VaR_s风模型中,仿照夏普指数创建出了新的选股指标γ_s_i(t),使投资组合更有效率;最后,μ_s-VaR_s模型充分考虑了沪深股票市场的交易成本和交易条件限制,使模型具有较强的现实可用性.经过对沪深股票市场的实证分析发现:μ_s-VaR_s模型明显优于马柯威茨的M-V模型;应用μ_s-VaR_s模型所构建的投资组合的累积收益率显著高于大盘的同期累积收益率.
Based on the new VaR risk control system and VaR theory of price condition, this paper establishes a new optimal portfolio model - μ_s-VaR_s model. The main features of the model are as follows: Firstly, the μ_s-VaR_s model mainly focuses on the expected return and risk of relative prices. Under the condition that there is no risk of stock index futures hedging against the broader market index, this model can provide scientific ideas for the portfolio to outperform the broader market. Secondly, In the μ_s-VaR_s wind model, a new stock selection index γ_s_i (t) is modeled after the Sharp Index, making the portfolio more efficient. Finally, the μ_s-VaR_s model fully considers the transaction costs and trading conditions in the Shanghai-Shenzhen stock market , So that the model has strong realistic usability.After the empirical analysis of the Shanghai and Shenzhen stock markets, it is found that the μ_s-VaR_s model is better than the MV model of Markowitz and the cumulative return of the portfolio constructed by μ_s-VaR_s model Significantly higher than the market’s cumulative yield over the same period.