国际组合套利头寸比例选择技术及实证研究

发布时间：2018-04-15 05:15

本文选题：国际组合套利 + 资产相关性　；参考：《系统工程》2010年05期

【摘要】：以国际套利定价理论为基础并对其进行拓展,构建了国际多因素模型。揭示国际组合套利行为的内在机理为:通过构建组合,对冲掉降低资产相关性的因素,或者增加能提高资产相关性的因素,实现用于套利的资产匹配。使用传统的均值-方差法求解出优化结果,并分析其缺陷所在。提出一种新的计算头寸比例的改进方法,即以资产相关性强弱作为构建套利组合的基本标准,采用资产组合复制技术,通过计算机程序对组合中各资产的价格时间序列进行预处理,再进行噪声清理和归一化处理后,得出优化的国际组合套利头寸比例,并以全球主要资本市场的指数作为研究对象进行实证分析。
[Abstract]:Based on the international arbitrage pricing theory, the international multi-factor model is constructed.The intrinsic mechanism of international portfolio arbitrage behavior is to hedge the factors that reduce the asset correlation by constructing the portfolio or to increase the factors that can improve the asset correlation so as to realize the asset matching for arbitrage.The traditional mean-variance method is used to solve the optimization results and its defects are analyzed.In this paper, a new method to calculate the position ratio is proposed, that is, the asset correlation is taken as the basic criterion for constructing arbitrage portfolio, and the portfolio replication technique is adopted.The price time series of each asset in the portfolio are pretreated by computer program, then the noise is cleaned up and normalized, and the optimized arbitrage position ratio of international portfolio is obtained.And take the index of the main capital market as the research object to carry on the empirical analysis.
【作者单位】：同济大学经济与管理学院;
【基金】：国家自然科学基金资助项目(70671075)
【分类号】：F831.51;F224

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