增长投资风格与策略研究

发布时间：2018-03-11 22:16

本文选题：增长投资风格　切入点：凯利优化模型　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文紧紧围绕增长投资风格与策略来进行研究。增长投资是一种注重公司盈利增长的投资风格，其核心思想是投资收益主要源于公司盈利增长所推动的股价上涨。增长投资者普遍是采用自上而下的研究方法。在行业层面，投资者通过对行业市场规模的预测、行业发展阶段的判断、行业竞争性的分析和行业产业链的研究来挑选出发展前景最好的行业。在公司层面，投资者通过对公司管理层的分析和公司护城河的研究，从行业中挖掘出最具发展前景的公司。完成选股之后，增长投资者普遍会采用集中投资策略。美国数学家凯利提出了凯利优化策略来解决这一问题，，本文则进一步引入了Black-Scholes期权定价公式中股票价格遵循几何布朗运动的假设，构建了一套基于股票价格服从对数正态分布的凯利优化投资策略，使得凯利优化模型能更好地运用于股票投资实践中。当投资者对某一只股票未来投资收益率期望值和方差做出预测之后，就可以直接利用该模型获得股票的最优投资比例，从而实现最快的财富增长速率。最后本文探索利用市场上分析师们对上市公司盈利增长性的一致预期建立投资组合。近五年，从股票盈利低于预期比例和投资收益率两个角度得出了预期增长率为20%~30%的高关注类股票组合为最优。并且预期增长率超过20%的全部8个投资组合收益率都大幅高于沪深300指数，这就说明了基于盈利增长预期的增长投资风格在A股市场上具有可行性。
[Abstract]:This paper focuses on the growth investment style and strategy. Growth investment is a kind of investment style that pays attention to the growth of the company's profit. The core idea is that the return on investment comes mainly from the rise in share prices driven by the growth of corporate earnings. Growth investors generally adopt a top-down approach. At the industry level, investors predict the size of the industry market. Industry development stage judgment, industry competitive analysis and industry chain research to select the industry with the best development prospects. At the corporate level, investors analyze the management of the company and research the moat of the company. Dig out the most promising companies in the industry. After the stock selection was completed, growth investors generally adopted a centralized investment strategy. The American mathematician Kelly put forward a Kelly optimization strategy to solve this problem. In this paper, we further introduce the hypothesis that the stock price follows the geometric Brownian motion in the Black-Scholes option pricing formula, and construct a set of optimal investment strategies based on the logarithmic normal distribution of stock price. When investors predict the expected value and variance of a stock's future return, the model can be directly used to obtain the optimal investment ratio of the stock. Thus achieving the fastest rate of wealth growth. Finally, this paper explores the establishment of a portfolio based on the consensus expectations of analysts on earnings growth of listed companies in the market. From the point of view of the ratio of stock earnings below expected and the rate of return on investment, it is concluded that the high-concern stock portfolio with an expected growth rate of 20% or 30% is the best. Moreover, all the 8 portfolios with an expected growth rate of more than 20% are all significantly higher than the CSI 300 index. This shows that the growth investment style based on profit growth forecast is feasible in A-share market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

【共引文献】