“双碳”目标下新能源行业上市公司价值投资策略的量化分析  

Quantitative Analysis of Value Investment Strategy of Listed Companies in New Energy Industry under the Goal of “Double Carbon”

作　　者：宋大伟 卢文鹏 朱家明[1] Song Dawei;Lu Wenpeng;Zhu Jiaming(Anhui University of Finance and Economics)

机构地区：[1]安徽财经大学

出　　处：《哈尔滨师范大学自然科学学报》2022年第6期5-13,共9页Natural Science Journal of Harbin Normal University

基　　金：国家社科基金资助(21CTJ024);国家级大创项目资助(202110378024);安徽省教育厅质量工程项目“数学建模示范课”资助(2020SJJXSFK0018)

摘　　要：针对中国新能源行业上市公司价值的投资策略,从量化投资和价值投资两个角度出发,运用2020年1月~2022年6月这段时间内相关上市公司市场数据进行实证检验.首先,基于主成分分析法构建投资股票池,然后,依据马科维茨投资组合理论构建有效前沿,并采用KMV模型测度投资组合的信用风险.研究发现:依据量化投资方法进行价值投资,其投资收益远高于同期沪深300指数;但是,新能源行业尚处在发展初期,市场投资信心不足,存在高风险高收益的特点.研究得出:中国的新能源市场具有一定的投资价值,并且该行业投资对中国政府落实可持续发展理念和推动产业转型升级具有重要的政策启示.For the investment strategy of the value of Listed Companies in China’s new energy industry, from the perspective of quantitative investment and value investment, in this paper, the market data of relevant listed companies from January 2020 to June 2022 is used to conduct an empirical test. Firstly, the investment stock pool is constructed based on principal component analysis, and then the effective frontier is constructed based on Markowitz portfolio theory, and KMV model is used to measure the credit risk of portfolio. It is found that the investment income of value investment based on quantitative investment method is much higher than that of CSI 300 index in the same period. However, the new energy industry is still in the early stage of development, and the market investment confidence is insufficient, which has the characteristics of high risk and high return. The research concludes that China’s new energy market has certain investment value, and the investment in this industry has important policy implications for the Chinese government to implement the concept of sustainable development and promote industrial transformation and upgrading.

关 键 词：“双碳”目标 主成分分析 马科维茨投资组合 KMV模型 量化投资 

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