上海股市投资组合的非线性协同持续研究  

The Nonlinear Co-Persistence of Portfolio in Shanghai Stock Market

作　　者：刘丹红[1] 徐正国 张世英[2] 

机构地区：[1]天津大学,天津300072 [2]天津大学管理学院,天津300072

出　　处：《系统工程理论方法应用》2005年第3期275-279,共5页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金资助项目(70471050)

摘　　要：利用GARCH模型对上海股市个股的持续性进行分析。由协同持续的思想,从投资组合的角度研究消除风险的持续性达到规避风险的途径。通过对上海股市实例分析,发现线性组合后持续性不降低反而升高。进一步考虑金融市场的非线性性,扩展了协同持续的概念,利用投资组合的非线性协同持续,可以达到规避风险的目的。This paper uses GARCH model to analyze the persistence of individual stock in Shanghai stock market, and persistence is eliminated by portfolio investment of stocks in order to avoid risk according to co-persistence. As the result, the persistence of linear combination increases not drops by analyzing the example in the Shanghai stock market. In further, this paper considers nonlinear nature of financial market, and extends the notion of co-persistence and puts forward the nonlinear co-persistence of investment combinatin.

关 键 词：持续性 协同持续 非线性协同持续 投资组合 

分 类 号：F830.91[经济管理—金融学]