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研究了当投资者在某个证券子集上存在一定约束时,其构建的证券组合在证券全集上的有效性问题。将参数估计风险融入到投资组合决策过程,提出了拟合有效证券组合的概念,并且得到了拟合有效证券组合的判定条件及统计检验方法,最后,结合我国股票市场数据,进行了一些实证研究。研究结果表明,当在某个证券子集上增加投资约束时,虽然原来的证券组合未必有效,但通过选择合适的证券集划分仍然可以实现其拟合有效性,并且可以得到基本相同的样本外业绩表现。
This paper studies the validity of securities portfolio constructed on a complete set of securities when investors have certain constraints on a subset of securities. Put the risk of parameter estimation into the process of portfolio decision-making, put forward the concept of fitting effective portfolio, and get the judgment condition and statistical test method of fitting effective portfolio. Finally, based on the data of Chinese stock market, . The results show that when the investment constraint is increased on a certain subsets of securities, although the original portfolio may not be valid, the fitting validity can still be achieved by selecting the appropriate portfolio division, and the same sample can be obtained Performance.