协同持续下资产组合最优决策理论与实证研究  

Theoretical and empirical research on optimization of portfolio decision-making with co-persistence

作　　者：刘海飞[1] 朱洪亮[1] 吴承尧[1] 

机构地区：[1]南京大学工程管理学院,南京210093

出　　处：《管理科学学报》2010年第9期37-46,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70932003;70671053;70701016;10726072);教育部科技创新工程重大项目培育资金资助项目(708044);教育部人文社会科学研究资助项目(09YJCZH061);南京大学人文社科资助项目

摘　　要：马柯维茨(Markwitz)的现代证券组合理论被视为现代金融理论的基石,成为组合投资分散化的理论依据.但在分析的过程中,静态或动态的投资组合选择理论未能充分重视一个关键的问题,即金融资产时间序列的时变性、聚集性与持续性.因此,基于多期滞后随机波动(SV)模型,尝试性地构建金融时间序列协同持续条件下的最优资产组合模型及其参数估计模型.继而基于理论分析,对"1/n"投资策略组合、均值方差组合与协同持续条件下的资产组合的有效性进行比较研究,得到了协同持续条件资产组合的有效性与优越性.这对于资产组合最优决策理论的发展与应用具有重要意义.Markowitz＇s Modern Portfolio Theory（MPT） is considered as the footstone of finance theory and has become the theoretical basis of invest diversification.Nevertheless static or dynamic portfolio theory cannot adequately attach importance to pivotal problem which is time-variation,cluster and persistence of financial time series.Accordingly,the paper tentatively constructs an optimal portfolio decision-making model using SV model with multiple term delays under the condition of co-persistence.We find the validity and superiority of co-persistence invest portfolio throughout comparatively analysis for ＂1/n＂ invest portfolio,mean-variance portfolio model and co-persistence portfolio model,and which is of crucial significance to optimization decision-making theory＇s development and its application.

关 键 词：金融资产时间序列 波动性 协同持续性 最优选择 

分 类 号：F830[经济管理—金融学]