基于指数分层结构算法的动态资产配置实证研究  

An Empirical Study of Dynamic Asset Allocation Based on Index Hierarchical Structure Algorithm

作　　者：宋光辉[1] 刘广[1] 

机构地区：[1]华南理工大学工商管理学院,广州510640

出　　处：《软科学》2013年第11期32-37,共6页Soft Science

基　　金：教育部人文社会科学基金规划项目(10YJA630131);中央高校基本科研业务费专项资金项目(x2jmD2118850)

摘　　要：根据23个行业指数2000～2012年8月的日收益率数据,经过实证检验表明：指数分层结构算法有利于行业选择且分类结果具有稳定性.进一步使用该算法对36只股票构建投资组合,结果显示有利于降低组合风险和揭示沪市系统性风险真实水平,并有助于获得更优组合业绩.This paper concerns the impact of portfolio selection process on its results. The index hierarchical structure algo- rithm, which is tested by the data of 23 industry indices during 2000 August 2012, it can deduce a stabilized asset catego- rization. Then, a further empirical test was conducted by using the data of 36 stocks. The result shows that this method helps to not only reduce risk of optimal portfolio and reveal the real level of systemic risk of Shanghai stock market, but also obtain better investment performance.

关 键 词：指数分层结构算法 亚超度量空间 资产配置 

分 类 号：F830.9[经济管理—金融学] F224