基于DEA交叉效率的投资组合优化策略  

Portfolio Optimization Strategy Based on DEA Cross-Efficiency

作　　者：李双杰[1] 高濛 LI Shuang-jie;GAO Meng(School of Economics and Management,Beijing University of Technology,Beijing 100124,China)

机构地区：[1]北京工业大学经济与管理学院,北京100124

出　　处：《数学的实践与认识》2023年第1期97-110,共14页Mathematics in Practice and Theory

摘　　要：以风险报酬比指标中的风险和收益因子作为投入产出,利用BCC模型计算投资效率.然后引入交叉效率模型,在均值方差框架下计算最优投资组合,将其形成投资策略在A股市场中回测.以传统的全局最小方差模型、纯交叉效率模型、等权模型和大盘指数作为业绩比较基准,回测结果发现不论是否放开卖空约束,投资组合策略均可以跑赢所有基准。稳定性测试表明,在不同调仓周期和不同的指数成分股中,投资组合策略仍然表现稳健,可以跑赢基准.This paper takes the risk-return ratio as the basis of investment efficiency,uses data envelopment analysis to calculate investment eficiency,and introduces risk and return into efficiency calculation.In this paper,cross-efficiency and mean-variance frameworks are introduced to optimize the optimal portfolio strategy.In this paper,the global minimum variance model,pure cross efficiency model,equal weight model and market index are used as benchmarks to test the portfolio of SSE50 constituent stocks.The results show that the performance of this strategy is better than the benchmark regardless of whether the short selling restriction is lifted.This paper also tests the performance of this strategy in different rebalancing windows,and the results show that this strategy is robust.Finally,this paper extends the portfolio strategy to SSE180 and CSI300 constituent stocks,and the results are still robust and can be better than the benchmark.

关 键 词：数据包络分析 投资效率 均值方差模型 投资组合优化 

分 类 号：F224[经济管理—国民经济] F832.51