本文選題：指數(shù)追蹤 + 折中路徑��； 參考：《數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究》2017年05期

【摘要】：研究目標(biāo):構(gòu)建了可以調(diào)節(jié)追蹤誤差和超額收益的增強(qiáng)型指數(shù)追蹤模型,并給出了廣義最小角度回歸算法(GLARS),用以計(jì)算調(diào)節(jié)參數(shù)作用下模型解的折中路徑。研究方法:通過(guò)模擬數(shù)據(jù)和五組世界主要股票市場(chǎng)指數(shù)的歷史數(shù)據(jù),對(duì)本文提出的模型和算法與同類(lèi)模型和算法進(jìn)行了性能比較;同時(shí)追蹤上證50指數(shù)構(gòu)建若干稀疏且穩(wěn)定的資產(chǎn)組合模型,通過(guò)信息比率等指標(biāo)對(duì)投資組合進(jìn)行評(píng)價(jià)。研究發(fā)現(xiàn):本文構(gòu)建的模型可用以構(gòu)造權(quán)衡追蹤效果和超額收益,且稀疏的資產(chǎn)組合,GLARS算法相對(duì)傳統(tǒng)預(yù)設(shè)參數(shù)的算法具有良好的求解能力和計(jì)算速度。研究創(chuàng)新:引入調(diào)節(jié)參數(shù)平衡追蹤效果和超額收益,并針對(duì)中國(guó)股票市場(chǎng)的特點(diǎn),在增強(qiáng)型指數(shù)追蹤模型施加非負(fù)約束;GLARS算法可遍歷所有折中意義下的最優(yōu)解。研究?jī)r(jià)值:本文提出的增強(qiáng)型指數(shù)追蹤模型在國(guó)內(nèi)具有較強(qiáng)適用性,在保證資產(chǎn)稀疏性的前提下可以得到超額收益,同時(shí)豐富了目前投資組合中的方法論研究。
[Abstract]:Research objective: an enhanced exponential tracking model which can adjust the tracking error and excess return is constructed, and the generalized minimum angle regression algorithm is given to calculate the compromise path of the model under the action of adjusting parameters. Methods: through the simulation data and five groups of historical data of the world's major stock market indexes, the performance of the proposed model and algorithm is compared with that of the similar models and algorithms. At the same time, several sparse and stable portfolio models are constructed by tracking the Shanghai Stock Exchange 50 Index, and the portfolio is evaluated by information ratio and other indicators. It is found that the model constructed in this paper can be used to construct tradeoff between tracing effect and excess return, and the sparse portfolio GLARS algorithm has good solving ability and computing speed compared with the traditional algorithm with preset parameters. Research innovation: according to the characteristics of Chinese stock market and the characteristics of Chinese stock market, the GLARS algorithm can traverse the optimal solution in the sense of all compromises by introducing the adjusted parameter equilibrium tracking effect and excess return, and according to the characteristics of the Chinese stock market, applying non-negative constraints to the enhanced exponential tracking model. Research value: the enhanced index tracking model proposed in this paper has strong applicability in China, which can obtain excess returns on the premise of asset sparsity, and enriches the current research on portfolio methodology.
【作者單位】： 中央財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與數(shù)學(xué)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目(71403310) 北京市社會(huì)科學(xué)基金項(xiàng)目(16LJB005) 中央財(cái)經(jīng)大學(xué)青年科研創(chuàng)新團(tuán)隊(duì)支持計(jì)劃;中央財(cái)經(jīng)大學(xué)博士研究生重點(diǎn)選題支持計(jì)劃的資助 中央高�；究蒲袠I(yè)務(wù)經(jīng)費(fèi)
【分類(lèi)號(hào)】：F224.0
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本文編號(hào)：1856488