基于融资融券业务的新投资策略及应用  

The New Investment Strategy Based on the Margin and Its Application

作　　者：陈静[1] 黄光辉[1] 

机构地区：[1]重庆大学数学与统计学院,重庆401331

出　　处：《重庆理工大学学报（自然科学）》2013年第4期116-120,共5页Journal of Chongqing University of Technology：Natural Science

基　　金：中央高校基本科研业务费专项资金资助项目(CDTZR104100007)

摘　　要：利用融资融券业务建立了一个仅用现金作抵押的保证金借贷系统的新投资策略,并将这一策略运用于中国股票市场来检验其优劣。该策略利用了一个条件概率(CRNC),即通过在没有保证金追缴通知的条件下达到预期收益来控制投资者面临的风险,并且投资者可根据自身需求自由选择投资策略,因此这一策略是动态的。选取了上海证券交易所(SSE)上市180只股票中的155只股票进行研究。结果表明:最优策略的实际月收益率达到了6.02%,因此这一策略对投资者来说是有意义的。By means of margin loans, this paper constructed a novel investment strategy using only cash as collateral and applied it in Chinese market. The conditional probability of achieving the profit goal （CRNC） is used to measure the risk faced by investors. The proposed investment strategy is a dynamic one for that investors can chose CRNC freely. The performance of this strategy is resulted from its application on the Shanghai Stock Exchange （SSE）, where 31 000 margin loans of 155 stocks listed on the SSE are investigated. It is founded that the return of the optimal strategy is 40%, which is a huge profit. It is concluded that this strategy is profitable to investors.

关 键 词：融资融券 保证金追缴 MARKOV链 预期收益率 实际收益率 

分 类 号：O231[理学—运筹学与控制论]