基于AHP的基金资产配置策略分析  

Analysis of Fund Asb Allocation Strategy Based on AHP

作　　者：徐惠 闫云侠[1] 朱家明[1] Xu Hui;Yan Yunxia;Zhu Jiaming(Anhui University of Finance and Economics)

机构地区：[1]安徽财经大学

出　　处：《哈尔滨师范大学自然科学学报》2020年第4期80-87,共8页Natural Science Journal of Harbin Normal University

基　　金：国家自然科学基金(71934001);教育部人文社会科学研究项目(19YJCZH069);安徽省教研项目(2018jyxm1305)。

摘　　要：针对基金资产配置策略问题,以10家公募基金公司投资的股票数据为依据,采用相似度聚类分析,以持股均衡度为指标把基金公司分为3类,并运用手肘法检验了模型.运用均值-方差和AHP算法,计算投资效益最大化下的10支股票的权重系数和投资金额,获得股票投资配置的最优策略.Aiming at the issue of fund asset allocation strategy, in this article, using the stock data invested by ten public fund companies as the basis, the similarity cluster analysis is adopted, and the fund companies is divided into 3 categories using equity balance as an indicator, and the model was tested by using the elbow method. Using the mean-variance and AHP algorithm, the weight coefficient and investment amount of 10 stocks are calculated under the maximization of investment efficiency, and the optimal strategy for stock investment allocation is obtained.

关 键 词：均衡度 聚类分析 资产配置策略度量 均值-方差 AHP 

分 类 号：F832.48[经济管理—金融学]