确定组合证券投资有效边界的参数线性规划方法

本文从预期收益率与风险权衡的分析，导出了连续确定组合证券投资有效边界的一种简化参数线性规划方法，研究了不允许卖空情况下有效边界的一般形状，并将有关方法和结论推广到包含一般线性的约束和无风险证券的情况，指出了有效边界出现不可导点的可能性。     

限制性卖空情况下组合证券有效边界的特征和确定方法

限制性卖空的引入有助于扩展投资机会空间，增强市场效率，本文在以往研究基础上，进一步讨论了允许限制性卖空情况下组合证券投资有效边界的特征，得出了有意义的结论。文中还针对收益率协方差矩阵的结构特征，提出了一种相对于文献的方法计算效率更高、可连续确定有效组合构成和有效边界的参数单纯形方法。     

组合证券资产选择的模糊最优化模型和有效边界的研究

本文针对组合让券资产选择问题,提出了兼顾收佃与风险的模糊最优化模型,给出了最优证券组合的计算方法,并对允许卖空与允许地空情况下的有效边界进行了研究。     

资本结构变化对组合投资有效边界的影响

在经典的组合投资均值-方差模型基础上,本文考虑融资因素对组合投资优化的影响,引入资本结构摩擦因子,研究其对组合投资有效边界的影响;给出了含资本结构摩擦因子作用的组合投资有效边界解析式,以及该有效边界根据资本结构因子取值而移动、变化的性质。     

限制最大损失时的证券投资组合模型及有效边界解析表达式

在有限自然状态的市场环境下,本文利用传统的均值-方差模型研究了限制最大损失时的证券投资组合问题,首先指出了含有无风险资产与不含有无风险资产两种情形在限制最大损失时模型的求解本质上是一样的,然后作为典型代表研究了n种风险资产在限制最大损失时的前沿边界及有效边界存在的充要条件及其本质特征,并根据这些结论给出了确定前沿边界及有效边界解析表达式的具体方法和步骤,最后作为结论的直接应用和说明,给出了一个具体的算例分析。     

考虑组合预测股价的泛证券投资组合选择策略北大核心CSCD

Online portfolio selection is regarded as an important research issue in the field of quantitative finance, which often aims to maximize returns or risk-adjusted returns. Mean-variance model, a classic portfolio model, assumes that the returns on assets obey a certain probability distribution, which characterizes the return and risk by calculating the mean value and covariance matrix of the portfolio, respectively. However, it is difficult to accurately obtain the future return or return distribution of assets, and the only information that can be accurately grasped is historical price data. Therefore, some scholars try to use only historical information to construct portfolio strategy, so they pay more and more attention to online portfolio selection problem. The so-called “online” means that when making decisions in the current period, the updated investment proportion only depends on the historical data obtained up to the beginning of the current investment, and the cycle is carried out until the end of the whole investment. Stock price prediction based on past information is one of the key problems of online portfolio selection without statistical assumption. In this paper, historical price data are used to predict the stock prices, and then a new online portfolio selection strategy is constructed. In the first part of this paper, we design a new online portfolio selection strategy based on the predicted stock prices with the goal of maximizing expected returns. First of all, in order to minimize the influence of market outliers or white noise, we adopt multiperiod historical price information to predict the stock prices for the next period. Secondly, in order to reduce the prediction bias caused by a single prediction model, the exponential smoothing method and L1-median estimation method are combined to construct a combination forecasting model. Then, the stock estimator can be obtained based on the above-mentioned combination forecasting model. Finally, a new online portfolio selection strategy named Combination Forecasting for Exponential Gradient (CFEG) is proposed by taking the maximization of expected return as the goal and adding a penalty term into the objective function to reduce the transaction costs caused by each transaction adjustment. In the second part, the competitive ratio analysis is adopted to analyze the competitive performance of the proposed strategy theoretically, and the Best Constant Rebalanced Portfolios (BCRP) strategy is regarded as a straw man. After a series of derivations, it is proven that the average logarithmic growth rate of CFEG strategy is asymptotically consistent with that of the BCRP strategy, namely, the proposed strategy CFEG is a universal strategy. In the third part, numerical examples are conducted to test the performance of the proposed strategy in terms of final cumulative wealth, statistical t-test, Sharpe ratio, Calmar ratio, transaction cost sensitivity, and other parameter sensitivities. It is necessary to test the performance of our proposed CFEG strategy. Therefore, this paper further demonstrates the performance of CFEG through numerical experiments related to 8 real stock market datasets in China and the United States. First of all, the most important indicator to judge the performance of a strategy is its final cumulative wealth. We compare the final cumulative wealth between the CFEG strategy with 3 benchmark strategies and 6 related online strategies, and compare the difference of the average logarithmic growth rate between CFEG strategy and BCRP strategy. On 8 datasets, the final cumulative wealth of CFEG strategy is stably higher than that of all online strategies, and the difference of the average logarithmic growth rate between CFEG and BCRP is almost zero. The CFEG strategy has a good performance on the whole, and the p-value is very small on each dataset in the statistical t-test. Secondly, the Sharpe ratio and Calmar ratio of CFEG strategy are compared with other strategies. The results show that CFEG strategy can better balance the returns and risks, and obtain higher risk-adjusted returns. Since the transaction costs are an important realistic constraint, the sensitivity analysis of the transaction cost rate of CFEG strategy is carried out subsequently. Meanwhile, 4 strategies are also selected for the purpose of comparison. The results show that CFEG strategy can withstand reasonable transaction costs and still obtain high returns. Finally, we conduct the sensitivity analyses of 3 parameters included in the design of CFEG strategy. The results show that the proposed CFEG strategy is stable and insensitive to parameter selection. Although the best parameter values are not selected, the CFEG strategy maintains excellent performance. Therefore, effective parameters can be selected easily in practical applications. In conclusion, the proposed strategy CFEG is suitable for investors to make investment decisions effectively and efficiently. The CFEG strategy is able to update the investment proportion in time without the future stock price information, so as to achieve the goal of maximizing returns, and provide some guidance for online investors. © (2023). All Rights Reserved.     

证券组合有效子集的统计检验及实证研究

本文研究了投资组合管理中的证券子集选择问题,通过分析证券组合有效子集与均值-方差张成的关系,给出了一种新的基于统计推断的证券子集有效性检验方法,同时也拓展了Huberman和Kandel的均值-方差张成条件。实证结果表明,本文的方法相对于现有的基于矩阵秩的判别方法更稳健。     

有关组合证券的投资问题探讨

随着社会经济的发展,证券市场也得到了不断的发展和完善,因此人们会选择把闲置的资金进行有效的组合投入到证券中。本文旨在对证券市场中的组合证券投资进行一定的了解,并对其投资的风险问题进行阐述,提出有效的风险规避措施,从而有效实现投资者的利益最大化。     

具有资本结构因子和交易成本的证券组合投资模型

在介绍经典的Harry Markowitz均值-方差投资组合模型的基础上,建立了含有资本结构因子和交易成本的证券组合最优化模型,在组合中不含有无风险证券和含有无风险证券的条件下,分别给出最优投资比例及有效边界,并讨论了资本结构因子与交易成本对有效边界的影响.     

有效市场投资组合的识别与确定

Sharp、Lintner和Mossin发现的资本资产定价模型(CAPM)是一个一般均衡模型,不仅使人们提高了对市场行为的了解,而且还提供了实践上的便利,同时也为评估风险调整中的业绩提供了一种实用的方法。因此CAPM为投资组合分析的多方面的应用提供了一种原始的基础。然而,在1977年RichardRoll对CAPM的检验提出了尖锐的批评,批评的关键之一就是有效市场投资组合是否能得到识别。本文运用自己独创的一种几何方法解决了这个长达二十余年的国际性难题。本文首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将资本市场线(CML)也用投资组合的权重向量表示出来,再由CML的定义就求出这个有效市场投资组合了。     

奇异方差投资组合的可行边界

本文讨论当n个基本资产的收益矩阵奇异时,它们的投资组合的可行边界,得到了在不同情形下相应边界和边界组合的解析表达式。     

证券市场中股票成交量对投资组合优化的影响

将证券市场中股票成交量引入组合投资模型, 得出新的有效边界解析式, 并探讨了新有 效边界与未考虑成交量有效边界之间的关系; 利用深圳股票交易市场的数据进行了实证分 析, 初步验证了这种关系.     

求解证券组合最优权重的几何方法

本文通过建立无非负约束和有非负约束条件下证券组合的临界线方程,分别给出了求解允许卖空与限制卖空时证券组合投资最优权重的一种方法。这种方法既可求解给定收益下的证券组合投资最优权重,又可求解给定风险条件下的证券组合投资最优权重。     

项目投资组合的风险决策模型及应用

本文对项目投资组合决策方法进行了总结分析,指出了其中的不足.通过借鉴证券投资组合理论,结合项目投资组合的特点,构建了项目投资组合的风险决策模型,弥补了现有方法的不足,并设计了一种简单的模型求解方法.该模型在保证资金等资源合理配置的前提下,考虑了项目投资的先后顺序,引入了组合风险,在风险承受范围内,实现项目组合收益的最大化.最后,通过一个实例验证了模型的有效性和实用性.     

求解不允许卖空证券组合前沿的区间搜索方法

综合分析了不允许卖空时证券组合前沿的构成和性质 ,在此基础上给出了求解不允许卖空时证券组合前沿的区间搜索方法 .应用该方法可以方便迅速地求出带有大型协方差矩阵的非负证券组合前沿及构成前沿的全部抛物的解析式 .对于大型证券组合优化问题的求解以及最优证券组合选择理论和方法的实用化具有重要的理论意义和实用价值     

确定投资组合权重的MC2线性规划方法

任何投资者都希望在投资中获取大的回报,但较大的回报通常伴随着较大的风险.为了分散风险或减少风险,投资组合是一种常用的投资技术.本文提出一种新的投资组合方法,可以同时概括投资项目的多种预测结果和多位投资专家的观点,在综合多方面投资建议的基础上,制定投资方案.     

基于自由现金流量的证券投资组合分析

通过比较中美两国在处理和计算自由现金流量方面的不同,提出自由现金流量的计算方法,并论述了在我国会计准则下如何通过会计调整计算自由现金流量。在获得公司自由现金流量的基础上,通过引入自由现金流量乘数和自由现金流量负债比,结合经营现金流量、市盈率和低财务杠杆指标,构造了基于自由现金流量的证券投资组合,对我国证券市场做出实证分析。同时,对比其他投资策略的实际效果,证明基于自由现金流量的投资策略所具有的优越性。     

基于风险计量指标的证券组合投资的数学模型及其应用

本文建立的证券组合投资的数学模型采用风险系数β作为控制证券投资风险的参数,其经济意义明确,实用性强。该模型应用于证券组合投资,效果明显,操作方便。