多标度投资组合绩效度量非系统误差及校正  

Multiscale investment portfolios' nonsystematic bias and calibration

作　　者：杨宏林[1] 张兴全[1] 赵娟娟[1] 陈收[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082

出　　处：《系统工程理论与实践》2013年第9期2187-2194,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71031004;71073049);教育部人文社会科学研究项目基金(09YJC630062);高等学校博士学科点专项科研基金(20090161120034);湖南大学中央高校基本科研业务费专项资金(09HDSK121)

摘　　要：传统投资组合夏普比率的测度独立于时间标度选择.利用沪深300指数实证发现,投资组合的夏普比率与时间标度存在关联,基于基准标度推导获得的多标度夏普比率存在非系统性误差,导致资产组合绩效度量产生偏差.在此基础上,研究探讨了引致夏普比率非系统误差的原因,提出基于泰勒和二项式展开的夏普比率误差函数用以校正非系统误差,为跨期投资组合绩效的准确度量提供支持.The calculation of the traditional Sharpe ratio （SR） is generally independent of the chosen timescale. However, the empirical results from CSI 300 index show that there is a close relation between the SR and the timescale. The SRs derived from the benchmark timescale exist the nonsystematic bias, which leads to investor＇s wrong judgment on the performance of the portfolio over different horizons. Based on the empirical analysis, the paper figures out the possible reasons of the nonsystematic bias, and then proposes the calibration functions of Taylor and Binomial expansion to eliminate the bias of multiscale portfolio. The aim of this work is to provide the accurate evaluation for intertemporal portfolio performance.

关 键 词：多标度 投资组合 夏普比率 非系统性误差 

分 类 号：F830[经济管理—金融学]