证券投资组合统计技术应用分析  

Application Analysis of Securities Portfolio Statistical Technology

作　　者：单雪超 

机构地区：[1]浙江财经大学数据科学学院,浙江 杭州

出　　处：《统计学与应用》2024年第3期588-599,共12页Statistical and Application

摘　　要：现代投资理论的创立对于建立合理的证券投资组合,实现有效收益、降低投资风险具有重要意义。本文对于现代投资组合理论进行系统梳理,细致地分析了现阶段流行的理论、科学地分析证券投资组合的技术、模型和工具,并基于均值方差模型做出投资组合选择。搜集多种股票数据建立股票池,对搜集的股票进行多种组合,运用聚类分析、回归分析、非线性规划等方法,建立诸如均值–方差等模型,对所选择股票组合的收益、风险等进行分析、预测。根据模型分析结果,得出最优的股票组合。选出最优组合后可以通过非线性规划分析投资组合中各股的最优占比,得出最佳的组合方式,为证券市场上的投资行为提供具有借鉴意义的方法路径。The establishment of modern investment theory is of great significance for establishing reasonable securities portfolio, realizing effective return and reducing investment risk. This paper systematically combs the modern portfolio theory, makes detailed analysis of the popular theory and scientific analysis of securities portfolio technology, models and tools, and makes portfolio selection based on the mean variance model. Collect a variety of stock data to establish a stock pool, collect a variety of stocks, use cluster analysis, regression analysis, nonlinear planning and other methods, establish models such as mean-variance. Analyze and forecast the returns and risks of selected equity portfolios. According to the results of the model analysis, the optimal stock portfolio is obtained. After selecting the optimal combination, the optimal proportion of each stock in the combination can be analyzed by nonlinear programming, and the optimal combination method can be obtained, which provides a reference method for the investment behavior in the securities market.

关 键 词：均值方差模型 非线性规划 证券投资组合 回归分析 

分 类 号：F83[经济管理—金融学]