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基于确定性等价进行等权重调整的组合投资策略研究

王宗润, 谭郭玺   

  1. 中南大学商学院, 长沙 410083
  • 收稿日期:2021-04-26 修回日期:2021-09-03 出版日期:2022-02-25 发布日期:2022-03-21
  • 基金资助:
    国家自然科学基金重点项目(71631008)资助课题.

王宗润, 谭郭玺. 基于确定性等价进行等权重调整的组合投资策略研究[J]. 系统科学与数学, 2022, 42(2): 287-303.

WANG Zongrun, TAN Guoxi. Research on Combination Portfolio Strategy with Equal Weight Adjustment Based on Certainty Equivalence[J]. Journal of Systems Science and Mathematical Sciences, 2022, 42(2): 287-303.

Research on Combination Portfolio Strategy with Equal Weight Adjustment Based on Certainty Equivalence

WANG Zongrun, TAN Guoxi   

  1. School of Business, Central South University, Changsha 410083
  • Received:2021-04-26 Revised:2021-09-03 Online:2022-02-25 Published:2022-03-21
由于估计误差的存在,均值方差投资策略的样本外表现并不尽如人意,与此同时,等权重投资策略由于没有估计误差和良好的样本外表现而逐渐被关注,且在策略组合中发挥重要作用.因此文章引入等权重投资策略对原有的均值方差资产配置进行调整,基于确定性等价衡量不同投资策略样本外表现的优劣,确定子策略的加权系数,构建组合投资策略.研究结果表明:就单一投资策略而言,均值方差策略在降低标准差、控制风险方面更占优,而等权重策略则在增大夏普比率、提高收益方面发挥更大的作用;就组合投资策略而言,基于确定性等价构建的组合投资策略一方面可以降低投资组合的尾部风险,帮助投资者规避极端损失,另一方面可以显著提高投资组合的夏普比率和索提诺比率,获取更高的风险调整后收益.
Due to the existence of estimation error, the out-of-sample performance of mean variance investment strategy is not satisfactory. At the same time, equal weight investment strategy is gradually concerned because of its lack of estimation error and good out-of-sample performance, and it plays an important role in combination strategy. Therefore, this paper introduces the equal weight strategy to adjust the original mean variance asset allocation, determines the combination coefficient of sub-strategies based on the certainty equivalence to measure the performance of different investment strategies, constructs the final combination portfolio strategy, and compares the combination portfolio strategy with other investment strategy. The results show that as far as single investment strategy is concerned, the mean variance strategy is superior in reducing standard deviation and controlling risk, while the equal weight strategy is beneficial to increase the Sharp ratio of the asset portfolio and improve return; As far as combination portfolio strategy is concerned, on the one hand, the combination portfolio strategy based on certainty equivalence can reduce the tail risk of portfolio and help investors avoid extreme losses, on the other hand, it can significantly improve Sharpe ratio and Sortino ratio of portfolio and obtain higher risk-adjusted returns.

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