基于单链接聚类过滤法的均值方差模型  

Mean-variance Based on Filtered Single Linkage Cluster

作　　者：黄飞雪[1] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《预测》2011年第1期66-70,共5页Forecasting

基　　金：教育部人文社会科学研究资助项目(09JCXLX1394)

摘　　要：为了消除由于估计收益率数据的时间序列的有限性而导致马克威茨均值-方差模型的统计不确定性,采用基于单链接聚类过滤法的均值-方差修正模型。选取上证50成分股2004～2007年的日数据,对修正前后的模型进行了实证对比分析发现:(1)修正后模型投资组合的可靠性系数比修正前模型的平均低0.067;(2)修正后模型投资组合估计风险和预测风险分别比修正前模型投资组合平均低0.096和3.329;(3)修正前模型投资组合的有效大小比修正后模型投资组合小0.0321,表明其风险分散程度更低。这在某种程度上表明:修正后模型要优于修正前模型的投资组合。Due to the finite length of the asset return time series, the estimation of the Markowitz＇ s mean-variance portfolio model unavoidably associated with a statistical uncertainty. So we use the single linkage cluster algorithm to filter the correlation coefficient matrix to avoid this. Then we choose the daily data from 2004 to 2007 of the 50 stocks composing the SSE 50 index to compare the new and the original solution of portfolio optimization and find that ： （ 1 ） the average reliability of the portfolio composed by the new method is O. 067 higher than that of the portfolio eomposed by the original method ; （2） the realized risk and the predicted risk of the portfolio composed by the new method are respectively 0. 1 and 3.3 lower than that of the portfolio composed by the original method ; （ 3 ） the effective size of the portfolio composed by the new method is 0. 0321 smaller than that of the portfolio composed by the original method, which proves the new one can better disperse the risk. So we draw a conclusion that the application of the single linkage cluster algorithm can improve the mean-variance Model.

关 键 词：单链接聚类法 均值-方差模型 正定性 

分 类 号：F830.9[经济管理—金融学]