基于序关系重构的恒定再平衡投资组合

发布时间：2018-04-25 12:37

本文选题：动态投资组合 + 独立同分布　；参考：《中国管理科学》2014年03期

【摘要】：CRP(Constant Rebalancing Portfolios,即恒定再平衡投资组合)是一种重要的投资组合,它要求资产收益率序列必须满足独立同分布条件,这个限定条件影响了CRP在实际金融投资中的应用。为了使CRP发挥与其理论基础相称的实际效果,对真实金融数据进行基于序关系的重构,使得重构后的数据接近于满足独立同分布条件。在重构后的数据上构建最优CRP,这种策略称为rankCRP。证明了在适当的条件下rankCRP具有最优性。运用国际国内多个真实市场的大型历史数据进行检验,检验结果表明rankCRP在真实市场的表现优于CRP,远远超越市场指数,甚至战胜涨幅最大的证券。RankCRP在理论上的最优性表明,通过适当的重构,CRP也可以适用于非独立同分布收益率时间序列,拓宽了CRP理论的适用领域。RankCRP在实践上的有效性对金融投资实务有重要意义。
[Abstract]:CRP (Constant Rebalancing Portfolios, that is, constant reequilibrium portfolio) is an important portfolio, which requires that the asset return sequence must satisfy the independent and identically distributed condition, which affects the application of CRP in real financial investment. In order to bring the actual effect of CRP to its theoretical basis, the real finance is true to the real finance. The data is rebuilt based on the order relation, making the reconstructed data close to the independent and identically distributed conditions. The optimal CRP is constructed on the reconstructed data. This strategy is called rankCRP. to prove that rankCRP has the optimal conditions under appropriate conditions. It shows that the performance of rankCRP in real market is superior to CRP, far beyond the market index, and even the most superior.RankCRP in theory shows that, by proper reconstruction, CRP can also be applied to the time series of non independent and identically distributed return, which widens the validity of.RankCRP in the field of application of CRP theory. The practice of investing in investment is of great significance.

【作者单位】：四川大学商学院;
【基金】：国家自然科学基金资助项目(70771067,71071101)
【分类号】：F830.59;F224

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