基于贝叶斯方法投资组合选择问题的研究

发布时间：2018-04-14 01:32

本文选题：投资组合选择 + 贝叶斯方法　；参考：《东北大学》2014年硕士论文

【摘要】：21世纪,金融投资在世界经济格局中占有重要的地位。发达国家的经验证据表明,金融投资组合理论对于投资者的金融决策起着相当重要的作用。但是,后期的实证研究表明资产定价模型存在局限性,市场上存在很多异常现象,如规模效应、动量效应等。与国外成熟的股票市场相比,我国的股票市场也存在很多非理性行为,例如动量/反转效应。大量投资组合的文献对于资产定价模型的认知主要集中于两类观点：一类认为资产定价模型完全无用；另一类认为模型是现实状况的完美描述。但是考虑到股票市场的现状,投资者在投资决策过程中,并没有采用非是即非的极端观点,而是将特定的资产模型视为一个潜在有用的决策工具,这与贝叶斯决策理论相一致。因此,本文尝试采用贝叶斯方法研究投资组合的选择。学者们通常会采用单一的股票作为资产构建投资组合,但考虑到我国股市存在明显的动量效应,本文尝试先通过构建动量组合和市场组合,再将其视为两种资产来构建整个的投资组合。本文基于pastor(2000年)提出的贝叶斯方法,研究一个风险厌恶的投资者如何进行投资组合的选择。选取上证A股作为研究对象,首先,以2000年1月至2012年12月作为样本期,参考Jegadeesh的研究方法,以月为周期,分别设定了6种不同月数的形成期和持有期,共构建了36种动量组合策略。通过检验所有策略发现我国股市存在显著的反转效应,分析比较各策略的检验结果,选出收益最为显著的策略作为最佳的动量组合。其次,运用CAPM模型对动量组合的收益进行检验,结果表明动量组合的超额收益优于CAPM模型的预测值,因此,投资者会将一部分资金投资于动量组合。本文选定市场组合作为投资组合的基础资产,选定动量组合作为投资组合的风险资产。最后,考虑到贝叶斯投资者对于CAPM模型定价能力的认识可能持有不同的观点,本文采用贝叶斯方法构建最优的投资组合,并计算不同时间点最优投资组合中市场组合和动量组合的权重比例。研究结果表明,随着先验认知的不同,投资者投资于投资组合中市场组合和动量组合的比例也会有所不同；投资者会脱离资产定价模型的建议来构建投资组合,即便投资者对CAPM的定价能力有着很高的信心,但投资者仍会将一大部分资金投资于动量组合。因此,本文从资产配置的角度验证了我国股市反转效应的存在,也为投资者构建投资组合提供了一种新的思路。
[Abstract]:In the 21 st century, financial investment plays an important role in the world economic pattern.Empirical evidence from developed countries shows that financial portfolio theory plays an important role in investors' financial decisions.However, the later empirical research shows that the asset pricing model has limitations, and there are many abnormal phenomena in the market, such as scale effect, momentum effect and so on.Compared with foreign mature stock market, there are many irrational behaviors in our stock market, such as momentum / reversal effect.The cognition of asset pricing model in a large number of portfolio literatures is mainly focused on two kinds of viewpoints: one is that asset pricing model is completely useless and the other is the perfect description of real situation.However, considering the present situation of stock market, investors do not adopt the extreme view of "no or no" in the process of investment decision, but regard a specific asset model as a potentially useful decision-making tool, which is consistent with Bayesian decision theory.Therefore, this paper attempts to use Bayesian method to study portfolio selection.Scholars usually use a single stock as an asset to construct a portfolio. However, considering the obvious momentum effect in China's stock market, this paper attempts to construct momentum combination and market combination first.Think of it as two assets to build the entire portfolio.Based on Bayesian method proposed by pastor (2000), this paper studies how a risk-averse investor makes portfolio selection.First of all, taking January 2000 to December 2012 as the sample period, referring to the research method of Jegadeesh, taking monthly as the cycle, the forming period and holding period of six kinds of different month numbers are set, respectively.A total of 36 momentum combination strategies were constructed.By testing all the strategies, we find that there is a significant reversal effect in the stock market of our country. By analyzing and comparing the test results of each strategy, we choose the most significant strategy as the best momentum combination.Secondly, the CAPM model is used to test the return of momentum portfolio. The results show that the excess return of momentum portfolio is better than the predicted value of CAPM model. Therefore, investors will invest part of their funds in momentum portfolio.This paper selects the market portfolio as the basic asset of the portfolio, and the momentum portfolio as the risk asset of the portfolio.Finally, considering that Bayesian investors may hold different views on the pricing ability of CAPM model, this paper uses Bayesian method to construct the optimal portfolio.The weight ratio of the market portfolio and momentum portfolio in the optimal portfolio at different time points is calculated.The results show that the proportion of market portfolio and momentum portfolio will be different with the prior cognition, and investors will get away from the suggestion of asset pricing model to construct the portfolio.Even though investors have high confidence in the pricing power of CAPM, investors will still invest a large part of their money in momentum portfolios.Therefore, this paper verifies the existence of the reverse effect in China's stock market from the point of view of asset allocation, and provides a new way of thinking for investors to construct their portfolio.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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