基于均值-MF-X-DMA的能源产业链投资组合策略  

A Portfolio Strategy of Energy Industry Chain Based on Mean-MF-X-DMA

作　　者：陈洪涛[1,2] 昝秋雨 王锋 叶鑫[3] CHEN Hongtao;ZAN Qiuyu;WANG Feng;YE Xin(School of Economics and Management,Southeast University,Nanjing 211189,China;National School of Development and Policy,Southeast University,Nanjing 211189,China;School of Economics and Management,China University of Mining and Technology,Xuzhou 221116,Jiangsu,China)

机构地区：[1]东南大学经济管理学院,南京211189 [2]东南大学国家发展与政策研究院,南京211189 [3]中国矿业大学经济管理学院,江苏徐州221116

出　　处：《系统管理学报》2022年第5期964-975,共12页Journal of Systems & Management

基　　金：国家社会科学基金资助项目(21BJL056);江苏省社会科学基金资助项目(22GLB001);江苏省高校哲学社会科学研究重大项目(2022SJZDA059)。

摘　　要：国际能源金融市场是复杂的非线性系统,极端气候、地缘政治和金融风险等因素深刻影响能源投资活动。基于分形理论与产业链理论,提出优化中国能源产业布局及外汇能源资产配置的投资策略。结合均值-方差模型与多重分形方法,构建均值-MF-X-DMA模型,并选取标普500指数中反映能源产业链5个环节的10支股票进行分析。研究结果表明:每支股票的收益率均具有分形特征,分形市场假说适用于能源投资组合的构建;基于产业链理论的选股思路,能够构建稳定性更好、收益率更高的投资组合;与传统投资组合模型相比,除了标度为10之外,该投资组合策略在其他标度下均能取得更高的收益以及夏普比率、詹森指数和特雷诺指数,并弱化系统性风险的影响。The international energy financial market is a complex nonlinear system. Extreme climate, geopolitical and financial risks have a profound impact on energy investment activities. In order to optimize the distribution of China’s energy industry and foreign exchange energy asset allocation, an investment strategy is proposed based on the fractal theory and the industrial chain theory. A Mean-MF-X-DMA model is constructed in combination with the mean-variance model and the multifractal method. Ten stocks in the Standard & Poor’s 500 Index(S&P 500) reflecting five links of energy industry chain are selected for analysis. The empirical test shows that there are obvious multifractal characteristics in each stock returns. Therefore, it is suitable to apply the fractal market theory for constructing portfolio strategies. Stock selection based on the industry chain theory can improve the stability and returns of portfolio. With the exception of scale 10, the portfolio strategy based on the Mean-MF-X-DMA model performs better than the traditional portfolio model, with higher returns, Sharpe ratio, Jensen index, Treynor ratio and β coefficient. Besides, systemic risk has less impact on this portfolio strategy than the traditional portfolio strategy.

关 键 词：投资组合 分形 半方差 产业链 能源投资 

分 类 号：F224.9[经济管理—国民经济] F830.9