發(fā)布時(shí)間：2018-03-11 22:16

  本文選題：增長(zhǎng)投資風(fēng)格　切入點(diǎn)：凱利優(yōu)化模型　出處：《上海交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：本文緊緊圍繞增長(zhǎng)投資風(fēng)格與策略來(lái)進(jìn)行研究。增長(zhǎng)投資是一種注重公司盈利增長(zhǎng)的投資風(fēng)格，其核心思想是投資收益主要源于公司盈利增長(zhǎng)所推動(dòng)的股價(jià)上漲。增長(zhǎng)投資者普遍是采用自上而下的研究方法。在行業(yè)層面，投資者通過(guò)對(duì)行業(yè)市場(chǎng)規(guī)模的預(yù)測(cè)、行業(yè)發(fā)展階段的判斷、行業(yè)競(jìng)爭(zhēng)性的分析和行業(yè)產(chǎn)業(yè)鏈的研究來(lái)挑選出發(fā)展前景最好的行業(yè)。在公司層面，投資者通過(guò)對(duì)公司管理層的分析和公司護(hù)城河的研究，從行業(yè)中挖掘出最具發(fā)展前景的公司。 完成選股之后，增長(zhǎng)投資者普遍會(huì)采用集中投資策略。美國(guó)數(shù)學(xué)家凱利提出了凱利優(yōu)化策略來(lái)解決這一問(wèn)題，，本文則進(jìn)一步引入了Black-Scholes期權(quán)定價(jià)公式中股票價(jià)格遵循幾何布朗運(yùn)動(dòng)的假設(shè)，構(gòu)建了一套基于股票價(jià)格服從對(duì)數(shù)正態(tài)分布的凱利優(yōu)化投資策略，使得凱利優(yōu)化模型能更好地運(yùn)用于股票投資實(shí)踐中。當(dāng)投資者對(duì)某一只股票未來(lái)投資收益率期望值和方差做出預(yù)測(cè)之后，就可以直接利用該模型獲得股票的最優(yōu)投資比例，從而實(shí)現(xiàn)最快的財(cái)富增長(zhǎng)速率。 最后本文探索利用市場(chǎng)上分析師們對(duì)上市公司盈利增長(zhǎng)性的一致預(yù)期建立投資組合。近五年，從股票盈利低于預(yù)期比例和投資收益率兩個(gè)角度得出了預(yù)期增長(zhǎng)率為20%~30%的高關(guān)注類(lèi)股票組合為最優(yōu)。并且預(yù)期增長(zhǎng)率超過(guò)20%的全部8個(gè)投資組合收益率都大幅高于滬深300指數(shù)，這就說(shuō)明了基于盈利增長(zhǎng)預(yù)期的增長(zhǎng)投資風(fēng)格在A股市場(chǎng)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.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F275;F832.51

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