时-频域视角下的集成高阶矩投资组合策略研究  

Research on the integrated high-order moment portfolio strategy from time-frequency domain perspective

作　　者：朱鹏飞 唐勇 ZHU Pengfei;TANG Yong(School of Economics&Management,FuzhouUniversity,Fuzhou 350116,China;Key Laboratory of Financial Mathematics(PutianUniversity),Fujian Province University,Putian 351100,China;Fujian Provincial KeyLaboratory of Finance and Technology Innovation,Fuzhou 350116,China)

机构地区：[1]福州大学经济与管理学院,福州350116 [2]金融数学福建省高校重点实验室(莆田学院),莆田351100 [3]福建省金融科技创新重点实验室,福州350116

出　　处：《系统工程理论与实践》2020年第1期13-27,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71573042);福建省社科规划重大项目(FJ2017Z006);福建省自然科学基金(2017J01518);金融数学福建省高校重点实验室(莆田学院)开放课题(JR201804)。

摘　　要：针对以往研究不足,本文基于时-频域视角,借鉴"分解-集成"思想,将极大重叠离散小波变换方法与高阶矩投资组合框架相结合,构建了小波-集成高阶矩投资组合模型.鉴于小波函数诸多且性质各异,本文又提出"分解-混合-集成"思想,并构建混合小波-集成高阶矩投资组合模型.基于股票、原油和黄金数据,本文采用构建的模型进行样本外投资组合检验和分析,并进行稳健性检验,实证结果表明:相较于对照组,小波-集成高阶矩策略取得了较好的投资效果,为投资者带来更高的收益、夏普比率以及效用水平;凭借混合诸多小波函数的优势,混合小波-集成高阶矩策略取得了更佳的组合效果,显著优化了小波-集成高阶矩策略.稳健性检验佐证了上述结论.In view of the deficiency of previous researches,this paper draws on the idea of "decompositionintegration" and combines the maximal overlapping discrete wavelet transform method with the high-order moment portfolio framework based on the time-frequency domain perspective to construct a waveletintegrated higher-order moment portfolio model.Since the wavelet functions are various with different properties,this paper proposes the idea of "decomposition-mixing-integration" and constructs a hybrid wavelet-integrated higher-order moment portfolio model.Based on data of stock,crude oil and gold markets,this paper adopts the constructed model to build portfolios,and conducts out-of-sample testing and analysis on them,after which stability testing was carried out.The empirical results show that,first,compared with the control group,the wavelet-integrated high-order moment strategy achieves a significantly better investment effect,bringing higher returns,Sharpe ratio and utility level to investors.Second,by combining the advantages of many wavelet functions,the hybrid wavelet-integrated highorder moment strategy achieves better effects and significantly optimizes the wavelet-integrated high-order moment strategy.The stability test verifies the above conclusions.

关 键 词：时-频域 小波 高阶矩投资组合 分解-集成 分解-混合-集成 

分 类 号：F830.9[经济管理—金融学]