基于Copula熵的基金组合分析  

The Analysis Of The Fund Portfolio Based on Copula Entrop

作　　者：赵宁[1] 李兴斯[2] 孙雪卿[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025 [2]大连理工大学数学科学学院,辽宁大连116024

出　　处：《数学的实践与认识》2015年第6期30-39,共10页Mathematics in Practice and Theory

基　　金：国家自然科学天元基金资助(11226250);国家自然科学基金面上项目资助(71273042);国家教育部一般项目(12YJA790078);国家博士后基金(2013M541236);辽宁省教育厅重点实验室基础研究项目(LZ2014048)

摘　　要：针对基金的投资组合问题,提出了两阶段分析法:将原始成分股的波动分析与基金组合的分析分离,并以此提出了最大联合熵优化模型.通过Copula熵与联合熵之间的联系,建立了两者之间的转化关系,提出了基于Copula熵的研究方法.由于基金类的金融产品在我国属于新兴金融产品,且缺少其本身的历史数据作为投资参考,方法可以帮助投资者通过成分股信息分析基金组合,并构建适当的投资策略.The joint entropy optimization model is built to solve the fund investment portfolio,in which we propose two steps approach：the constituent stocks analysis is separated from the fund portfolio analysis.The copula entropy approach is applied to solve the joint entropy optimization models.The idea of the copula entropy let us to transfer the joint entropy model to copula entropy model in entropy optimization problem.The copula entropy approach is proposed..The packaged financial product such as the fund investment is still the new financial product and the history data are probably limited in China.The method we propose can build the possible strategy base on the constituent stocks of the fund.

关 键 词：投资组合 连接函数 熵 

分 类 号：F830.91[经济管理—金融学] F224