基于系统聚类法的基金资产配置策略研究  

Research on Fund Asset Allocation Strategy Based on System Clustering Method

作　　者：徐業釗 张晗 冯贯昂 韩立言 庞华 XU Yezhao;ZHANG Han;FENG Guanang;HAN Liyan;PANG Hua(School of Science,North University of China;School of Data Science and Technology,North University of China)

机构地区：[1]中北大学理学院 [2]中北大学大数据学院

出　　处：《中国商论》2021年第17期102-104,共3页China Journal of Commerce

摘　　要：本文主要针对基金的资产配置进行了相关研究,利用系统聚类法解决了关于基金资产配置策略的问题。首先对相关数据预处理,发现数据无异常值,有些股票数据部分缺失,予以剔除,并对各基金公司的投资概况和偏好做了简要分析。其次使用系统聚类法将股票按照股价波动分为四类,并用股价波动的变异系数将股票按波动类型分为低,中低,中高和高四类,最后综合投资策略的相关因素,构建了度量投资策略相似性的三个极小型指标,股票投资种类差异指数、持有股票差异指数、持股集中差异指数并给出了度量标准。This article mainly conducts related research on the asset allocation of funds,and uses the systematic clustering method to solve the problem of the asset allocation of funds.First of all,the relevant data is preprocessed,and it is found that the data has no outliers,and some stock data are partially missing,so they are removed,and a brief analysis of the investment profiles and preferences of each fund company are made.Secondly,it uses the system clustering method to divide stocks into four categories according to stock price fluctuations,and the coefficient of variation of stock price fluctuations is used to divide stocks into four types according to fluctuation types:low,medium-low,medium-high and high.Finally,it comprehensively integrates the relevant factors of the investment strategy and constructs three very small indicators to measure the similarity of investment strategies,the stock investment type difference index,the holding stock difference index,and the holding concentration difference index and the measurement standards are given.

关 键 词：系统聚类法 股票 投资 

分 类 号：F724.5[经济管理—产业经济]