变动基数投资组合中的系统误差与估计误差权衡  

Systematic-Estimation Error Trade-off in Portfolio Selection with Variable Cardinality

作　　者：齐岳 廖科智[2] QI Yue;LIAO Ke-zhi(China Academy of Corporate Governance, Nankai University, Tianjin 300071, China;Business School, Nankai University, Tianjin 300071, China)

机构地区：[1]南开大学中国公司治理研究院,天津300071 [2]浙江工业大学管理学院,浙江杭州310005 [3]南开大学商学院,天津300071

出　　处：《运筹与管理》2022年第5期112-120,共9页Operations Research and Management Science

基　　金：国家社会科学基金资助项目(18BGL063)。

摘　　要：投资组合选择中的系统误差与估计误差是决定样本期外绩效的重要因素,其权衡受到资产基数N的影响。本文在变动基数的设定下,将Bootstrapping和样本期外滚动的方法应用到均权重、最小方差组合及其误差修正策略的绩效和尾部风险检验过程中,并在不同的市场状态下进行分组讨论。研究发现:(1)最小方差组合与均权重策略的样本期外夏普比率差异与N存在倒U型的关系。(2)最小方差组合的尾部风险随N的扩大而迅速降低,总体来看最小方差组合的尾部风险低于均权重策略。(3)最小方差组合的换手率与N存在正相关关系,盲目增加投资组合选择中的资产基数会带来无谓损失。研究结果表明,投资者应理性选择资产基数,充分利用最小方差组合带来的分散化收益。The systematic error and estimation error in the choice of portfolios are important factors that determine the out-of-sample performance,but its tradeoff is affected by the asset cardinality N.In this paper,under the setting of the variable cardinality,the method of Bootstrapping and out-of-sample rolling are applied to the test of the equally weighted,the minimum variance portfolio and its error correction strategy performance and tail risk.The findings are as follows:(1)There is an inverted U-shaped relationship between the difference between the minimum variance portfolio and the equally weighted strategy in the out-of-sample period and N.(2)The tail risk of the minimum variance portfolio decreases rapidly with the expansion of N.Overall,the tail risk of the minimum variance portfolio is lower than the equally weighted strategy.(3)There is a positive correlation between the turnover rate of the minimum variance portfolio and N,and blindly increasing the cardinality will bring unnecessary losses.The research results show that investors should choose the asset cardinality rationally according to the length of the estimation window,and make full use of the diversification benefits brought by the minimum variance portfolio.

关 键 词：投资组合选择 变动基数 系统误差-估计误差权衡 尾部风险 

分 类 号：F325[经济管理—产业经济] F224