主成分分析在投资组合中的应用——基于国家产业政策  

Application of Principal Component Analysis in Investment Portfolio——Based on the National Industrial Policy

作　　者：殷燕林 YIN Yan-lin(School of Economics,Guizhou University,Guiyang 550025,China)

机构地区：[1]贵州大学经济学院,贵阳550025

出　　处：《经济研究导刊》2022年第26期87-89,共3页Economic Research Guide

摘　　要：证券投资组合的常规思想是如何在有效降低非系统性风险的同时获取最大的收益,而新的思路是如何在降低非系统风险的同时更积极地引进系统性风险来提高投资收益率。鉴于此,首先利用主成分分析法从沪深300成分股中选出业绩优良的上市公司股票进行价值投资组合。在此基础之上,再结合产业政策方向从得分较高的沪深300成分股中挑选出符合国家产业政策的股票进行投资组合。之后,回测两种组合的累积收益率的情况,最终得出的依据国家产业政策的投资组合的确能够取得高于常规的价值投资组合的累积收益率。The conventional idea of the portfolio is how to effectively reduce the non-systematic risk and obtain the maximum return,while the new idea is how to reduce the non-systematic risk and actively introduce systemic risk to improve the return on investment.In view of this,the research idea is to use the principal component analysis method to select the stocks of listed companies with good performance from the csi 300 for value portfolio.On this basis,combining the industrial policy direction of higher scores from the csi 300 stocks selected in accordance with national industrial policy in the stock portfolio,back to the situation of two kinds of combination of cumulative yield,finally concluded on the basis of the national industrial policy portfolio can achieve higher than conventional cumulative returns the value of the portfolio.

关 键 词：非系统性风险 投资组合 系统性风险 产业政策 

分 类 号：F224.0[经济管理—国民经济]