多標度投資組合績效度量非系統(tǒng)誤差分析及校正
發(fā)布時間：2019-04-02 00:23
【摘要】：傳統(tǒng)金融學研究在運用樣本數(shù)據計算不同期限組合收益和方差時,通常會任意選取一個樣本標度來對多標度投資組合績效進行度量,這一簡單的處理實際上隱含了時間標度與組合期望收益和方差相互獨立的假設。而在現(xiàn)實投資實踐中,由于投資環(huán)境的復雜性,導致投資者需要不斷調整資產的投資期限,造成投資者在進行跨期組合績效測度時經常忽視時間標度對組合績效的影響效應,進而使投資決策產生由于基準時間標度任意選擇而引起的非系統(tǒng)誤差。因此,如何對多標度投資組合績效進行合理測度是金融經濟學領域中具有較高現(xiàn)實意義的研究問題之一。 論文主要對多標度條件下的投資組合績效測度非系統(tǒng)誤差進行實證分析并對其校正進行探討。首先從理論分歧與投資實踐困惑兩個角度出發(fā),提煉論文研究的價值和意義,并提出相應的研究思路和方法。其次從跨期投資組合績效度量、金融市場多標度研究框架以及投資期限與組合績效關系三個方面出發(fā),對金融學關注的投資期限、投資組合績效以及績效測度三大核心問題進行邏輯綜述。在多標度投資組合夏普比率計算改進基礎上,分時間標度大于基準標度(TkT0)和時間標度小于基準標度(TkT0)兩種情況對理論與實際SR值之間的非系統(tǒng)誤差進行對比,發(fā)掘非系統(tǒng)誤差規(guī)律特征。最后對多標度投資組合績效誤差校正函數(shù)設計及有效前沿獲取進行探討,通過設計非系統(tǒng)誤差關于時間標度T的校正函數(shù),以滬深300指數(shù)為例對誤差校正函數(shù)的實際校正效果進行比較,并基于校正誤差函數(shù)獲取投資組合績效單標度和多標度有效前沿。實證結果分析表明：在TkT0條件下,GTSR RSR,且而當TkT0時,RSRGTSR,存在基于二項式擬合誤差函數(shù)比基于泰勒展開獲得的誤差函數(shù)校正效果更為理想,多標度有效前沿隨著時間標度擴大呈現(xiàn)出非線性特征。 通過對多標度投資組合績效度量誤差研究,采用滬深300指數(shù)對組合績效測度存在的非系統(tǒng)誤差進行實證分析,并提出相應的誤差校正思路和方法,旨在校正投資者在多標度投資組合績效測度過程中產生的非系統(tǒng)誤差,進而正確指導投資決策和風險管理。
[Abstract]:When using sample data to calculate income and variance of portfolio with different maturity, traditional finance studies usually choose a sample scale to measure the performance of multi-scale portfolio. This simple treatment actually implies the assumption that time scales are independent of portfolio expected returns and variances. In the real investment practice, because of the complexity of the investment environment, investors need to adjust the investment duration of the assets constantly, which results in the investors often ignore the effect of time scale on portfolio performance when they measure the cross-term portfolio performance. Furthermore, investment decision-making results in non-systematic error caused by arbitrary selection of reference time scale. Therefore, how to measure the performance of multi-scale portfolio reasonably is one of the research problems with high practical significance in the field of financial economics. This paper mainly analyzes the non-systematic error of portfolio performance measure under multi-scale conditions and discusses its correction. First of all, from the perspective of theoretical divergence and investment practice confusion, the value and significance of the study are refined, and the corresponding research ideas and methods are put forward. Secondly, from three aspects: cross-term portfolio performance measurement, financial market multi-scale research framework and the relationship between investment duration and portfolio performance, this paper focuses on the investment duration of finance. The three core issues of portfolio performance and performance measurement are summarized logically. On the basis of improved Sharp ratio calculation of multi-scale portfolio, the non-systematic errors between the theoretical and actual SR values are compared in the case that the time scale is larger than the benchmark scale (TkT0) and the time scale is less than the benchmark scale (TkT0). Explore the characteristics of non-systematic error law. Finally, the design of performance error correction function of multi-scale portfolio and the acquisition of effective frontier are discussed, and the correction function of non-systematic error about time scale T is designed. Taking Shanghai-Shenzhen 300 index as an example, the actual correction effect of error correction function is compared, and the effective frontier of portfolio performance card scale and multi-scale is obtained based on correction error function. The empirical results show that the error function based on binomial fitting in RSRGTSR, is better than the error function based on Taylor expansion in the case of, GTSR RSR, in TkT0 and when TkT0 is in existence, and the correction effect of error function based on Taylor expansion is better than that in the case of Taylor expansion. With the expansion of time scale, the effective frontier of multi-scale presents nonlinear characteristics. Through the research of multi-scale portfolio performance measurement error, this paper uses the Shanghai-Shenzhen 300 index to analyze the non-systematic error of portfolio performance measure, and puts forward the corresponding error correction ideas and methods. The purpose of this paper is to correct the non-systematic errors produced by investors in the process of multi-scale portfolio performance measurement so as to guide the investment decision-making and risk management correctly.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.59;F224
本文編號：2452049
[Abstract]:When using sample data to calculate income and variance of portfolio with different maturity, traditional finance studies usually choose a sample scale to measure the performance of multi-scale portfolio. This simple treatment actually implies the assumption that time scales are independent of portfolio expected returns and variances. In the real investment practice, because of the complexity of the investment environment, investors need to adjust the investment duration of the assets constantly, which results in the investors often ignore the effect of time scale on portfolio performance when they measure the cross-term portfolio performance. Furthermore, investment decision-making results in non-systematic error caused by arbitrary selection of reference time scale. Therefore, how to measure the performance of multi-scale portfolio reasonably is one of the research problems with high practical significance in the field of financial economics. This paper mainly analyzes the non-systematic error of portfolio performance measure under multi-scale conditions and discusses its correction. First of all, from the perspective of theoretical divergence and investment practice confusion, the value and significance of the study are refined, and the corresponding research ideas and methods are put forward. Secondly, from three aspects: cross-term portfolio performance measurement, financial market multi-scale research framework and the relationship between investment duration and portfolio performance, this paper focuses on the investment duration of finance. The three core issues of portfolio performance and performance measurement are summarized logically. On the basis of improved Sharp ratio calculation of multi-scale portfolio, the non-systematic errors between the theoretical and actual SR values are compared in the case that the time scale is larger than the benchmark scale (TkT0) and the time scale is less than the benchmark scale (TkT0). Explore the characteristics of non-systematic error law. Finally, the design of performance error correction function of multi-scale portfolio and the acquisition of effective frontier are discussed, and the correction function of non-systematic error about time scale T is designed. Taking Shanghai-Shenzhen 300 index as an example, the actual correction effect of error correction function is compared, and the effective frontier of portfolio performance card scale and multi-scale is obtained based on correction error function. The empirical results show that the error function based on binomial fitting in RSRGTSR, is better than the error function based on Taylor expansion in the case of, GTSR RSR, in TkT0 and when TkT0 is in existence, and the correction effect of error function based on Taylor expansion is better than that in the case of Taylor expansion. With the expansion of time scale, the effective frontier of multi-scale presents nonlinear characteristics. Through the research of multi-scale portfolio performance measurement error, this paper uses the Shanghai-Shenzhen 300 index to analyze the non-systematic error of portfolio performance measure, and puts forward the corresponding error correction ideas and methods. The purpose of this paper is to correct the non-systematic errors produced by investors in the process of multi-scale portfolio performance measurement so as to guide the investment decision-making and risk management correctly.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.59;F224
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