最优资产配置模型适用于中国股票市场吗  

Are the Optimal Portfolio Models Applicable For Chinese Stock Market?

作　　者：李金鑫[1] 涂巍[1] 王治国[2] 邹恒甫[1] 

机构地区：[1]中央财经大学中国经济与管理研究院,北京100081 [2]西安交通大学管理学院,陕西西安710049

出　　处：《当代经济科学》2014年第2期52-61,126,共10页Modern Economic Science

基　　金：教育部博士研究生学术新人奖(2012);中央财经大学博士研究生重点选题支持计划(2013)

摘　　要：本文基于A股市场月度收益数据构建了四个不同规模的投资组合数据库,来检验十个资产配置策略在中国市场的业绩表现,得出了以下三个结论:(1)未考虑参数不确定性问题的传统均值方差模型,样本外业绩表现最差;(2)考虑了参数不确定性的所有均值方差拓展策略中,卖空限制均值方差策略和卖空限制最小方差策略业绩表现最好;(3)无论是均值方差及其拓展策略,还是两种模型构成的组合投资策略,都不能在统计上优于简单多样化策略。因此,简单多样化策略应该成为中国市场资产配置模型业绩测度的比较基准。Using the monthly return data of Chinese A share market,we construct four portfolio databases of different sizes to test the performance of ten asset allocation tactics in Chinese market. We draw the three conclusions as follows: 1. The traditional mean-variance model that does not consider the uncertainty of parameters always has the worst out- of- sample performance. 2. Among all the mean-development models,the performance of the mean-variance tactic of short sale limit and the least variance tactic of short sale limit is the best. 3. Both mean-variance and the combined investment model of the two cannot be more excellent statistically than the simple diversification tactic. Therefore,the simple diversification tactic should become the comparison benchmark to measure the performance of asset allocation model in Chinese market.

关 键 词：资产配置模型 简单多样化策略 均值方差模型 

分 类 号：F830.91[经济管理—金融学]