多因素选股模型的实证分析

发布时间：2018-02-14 06:06

本文关键词： 多因素模型巴菲特选股模型一维零投资组合时间序列分析风险分解绩效归因　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：多因素模型在现代投资理论中居于重要地位,一方面它的模拟过程相对于其他复杂技术而言,更容易在实际过程中得以操作；而同时它的模拟结果也相当有解释力,因此本文试图利用该模型构建一投资组合,并通过与市场组合的对比来评价该组合的有效性。多因素模型假设投资收益率受到多种风险因素的影响,收益率由各风险因素的因素溢价、风险敞口共同决定。当多因素模型框架下收益与风险达到均衡时,风险资产价格遵守套利定价理论。本文主体分两大部分,第一部分介绍本文将用到的理论背景及前人在此基础上的成果,第二部分通过对中国股市数据的具体分析来实践多因素模型及其预测模型,以效用最大化为目标构建最优投资组合并做绩效归因分析。
[Abstract]:Multi-factor model plays an important role in modern investment theory. On the one hand, its simulation process is easier to operate in the actual process than other complex technologies, and its simulation results are also quite explanatory. Therefore, this paper attempts to use the model to construct a portfolio and evaluate the effectiveness of the portfolio by comparing it with the market portfolio. The multi-factor model assumes that the return rate of investment is affected by a variety of risk factors. The return rate is determined by the factor premium of each risk factor and the risk exposure. When the income and risk reach equilibrium under the framework of multi-factor model, the risk asset price obeys the arbitrage pricing theory. The main body of this paper is divided into two parts. The first part introduces the theoretical background that this paper will use and the achievements of predecessors on this basis. The second part practices the multi-factor model and its prediction model through the concrete analysis of the Chinese stock market data. To maximize utility as the goal to build an optimal portfolio and do performance attribution analysis.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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