| 基于序化机理的价值型股票选择研究 |
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| 引用本文： | 宋鹏.基于序化机理的价值型股票选择研究[J].山西大学学报(哲学社会科学版),2012,35(2):101-105. |
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| 作者姓名： | 宋鹏 |
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| 作者单位： | 山西大学管理学院,山西太原,030006 |
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| 基金项目： | 国家自然科学基金重点项目“高维复杂数据分析理论及其在投资决策中的应用”(71031006);国家自然科学基金面上项目“面向复杂数据的粗糙集多属性/多准则决策分析研究”(70971080);山西省软科学研究项目“投资项目选择的粗糙集多属性决策模式研究”(2010041054-01) |
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| 摘 要： | 面对日益重要但风险共生的股票市场,如何有效进行股票选择成为股票投资决策的关键问题.在对现有研究进行分析的基础上,文章运用“数据打包”方法、区间数据优势度排序决策方法,从数据表示、方法选择两个方面综合考虑稳健型准则,建立了基于序化机理的价值型股票选择策略.研究结果显示,基于区间数据优势度排序决策方法的价值型股票选择策略能够有效地序化备选股票,同时,相对于市场平均收益水平能够获得超额收益.
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| 关 键 词： | 价值投资 序化 数据打包 优势度 |
The Research on Value Stock Selection Based on Ranking Mechanism |
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| SONG Peng.The Research on Value Stock Selection Based on Ranking Mechanism[J].Journal of Shanxi University(Philosophy and Social Sciences Edition),2012,35(2):101-105. |
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| Authors: | SONG Peng |
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| Institution: | SONG Peng(School of Management,Shanxi University,Taiyuan 030006,China) |
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| Abstract: | As the stock market,which is highly risky,becomes increasingly important,effective stock selection becomes a key issue for stock investment decisions.On the basis of analysis of existent researches,this paper uses the methods of data-packaging and dominance degree ranking of interval data,and takes robustness criterion into account from the two aspects of data representation and method selection,finally establishes the investment strategies of value stocks based on the ranking mechanism.The results suggest the investment strategies of value stocks based on the method of dominance degree ranking of interval data can effectively rank the alternative stocks as well as obtaining excessive return relative to the average market return. |
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| Keywords: | value investment ranking data-packaging dominance degree |
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