稳健夏普单指数模型的构建及其比较研究  

The Formation and Comparison of Robust Shape’s One-way Analysis of Variance

作　　者：李雄英 王斌会[2] LI Xiong-ying;WANG Bin-hui(Guangdong University of Finance and Economics,School of Statistics and Mathematics,Guangzhou 510320,China;Jinan University,School of management,Guangzhou 510632,China)

机构地区：[1]广东财经大学统计与数学学院,广东广州510320 [2]暨南大学管理学院,广东广州510632

出　　处：《数理统计与管理》2020年第3期544-555,共12页Journal of Applied Statistics and Management

基　　金：国家社会科学基金资助项目(16BTJ035,13ATJ001);全国统计科学基金资助项目(2018LY04);广东省哲学社会科学“十三五”规划基金资助项目(GD16XYJ16);广州市哲学社会科学“十三五”规划2019年度一般项目(2019GZYB48);广东省教育厅青年创新人才类项目(人文社科)(2016WQNCX046)。

摘　　要：由于金融市场的不稳定性和获取金融数据渠道的多样化和复杂化,导致获取的金融数据中存在不定量的离群值,而离群值的存在容易使得传统夏普单指数模型的计算结果与实际情况存在偏差。针对这一现象,本文将稳健统计的思想与传统夏普单指数模型相结合,构建出稳健夏普单指数模型,以减少或消除离群值对模型的影响,并进行了模拟和实证分析。模拟和实证分析均表明:当金融数据中不存在离群值时,传统和稳健夏普单指数模型得到的投资决策效果基本上保持一致;当金融数据中存在离群值时,运用传统夏普单指数模型方法得到的结果有较大变化,而运用稳健夏普单指数模型方法得到的结果基本不变。这说明相对于传统夏普单指数模型,稳健夏普单指数模型对离群值具有更好的抗差性和抗干扰性。Financial data often exist a certain amount of outliers due to the instability of the financial market and the diversification and complexity of obtaining financial data.And traditional Sharpe’s oneway analysis of variance will lose efficacy because of the existence of outliers.Taking this factor into account,the paper introduces the thoughts of robust statistic and combines it with traditional Sharpe’s one-way analysis variance to construct robust Sharpe’s one-way analysis variance to reduce or eliminate the effect of outliers so that investors can obtain more realistic investment decisions and simulation experiment and empirical study are carried out.The simulation experiment and empirical study show that:When there is no outlier in the financial data,the investment decisions based on traditional and robust Sharpe’s one-way analysis variance model are almost the same.But when there exist outliers in the finance data,the monitoring effect based on traditional Sharpe’s one-way analysis variance model has large deviation with reality but the monitoring effect based on robust Sharpe’s one-way analysis variance model keeps basically consistent with reality.This means that compared with traditional Sharpe’s oneway analysis variance model,robust Sharpe’s one-way analysis variance model can resist the effect of outliers and has good anti-inference and robustness.

关 键 词：夏普单指数模型 离群值 稳健统计 投资决策 

分 类 号：O212[理学—概率论与数理统计]