本文選題：產(chǎn)業(yè)鏈投資 + 量化策略��； 參考：《上海交通大學(xué)》2014年碩士論文

【摘要】：產(chǎn)業(yè)鏈投資法意在通過(guò)構(gòu)建產(chǎn)業(yè)上下游公司的組合來(lái)整合公司之間的相對(duì)波動(dòng)風(fēng)險(xiǎn)，獲得在風(fēng)險(xiǎn)與收益水平上具有優(yōu)勢(shì)的投資表現(xiàn)，這已通過(guò)之前的研究得到證實(shí)。但是產(chǎn)業(yè)鏈投資法本身是一項(xiàng)復(fù)雜的過(guò)程，人為手動(dòng)的選股缺乏效率、不能發(fā)揮其最大的效力。量化投資作為一種投資方式，運(yùn)用數(shù)學(xué)與計(jì)算機(jī)技術(shù)，按照一定的規(guī)則進(jìn)行投資、交易，具有可規(guī)�；�、自動(dòng)化的特點(diǎn)，比較適用于產(chǎn)業(yè)鏈投資。在這樣的思想下，本文實(shí)現(xiàn)了一個(gè)功能完備、可用的產(chǎn)業(yè)鏈投資量化策略研究平臺(tái)，并通過(guò)該平臺(tái)進(jìn)行產(chǎn)業(yè)鏈投資量化策略的研究。本文通過(guò)量化因子模型對(duì)產(chǎn)業(yè)鏈上下游的公司進(jìn)行擇股，，利用效果較好的單因子設(shè)計(jì)構(gòu)建了產(chǎn)業(yè)鏈量化多因子模型，并對(duì)其進(jìn)行了模擬投資研究。本文納入了滬深300指數(shù)、上證綜合指數(shù)、恒生中國(guó)企業(yè)指數(shù)等一系列市場(chǎng)指數(shù)進(jìn)行比較，并通過(guò)窗口期外投資、統(tǒng)計(jì)抽樣的方法說(shuō)明了產(chǎn)業(yè)鏈量化多因子策略指數(shù)相比市場(chǎng)指數(shù)具有優(yōu)勢(shì)。此外本文還對(duì)投資業(yè)績(jī)?cè)u(píng)價(jià)指標(biāo)進(jìn)行了探討，使用其它指標(biāo)對(duì)產(chǎn)業(yè)鏈量化投資策略進(jìn)行了再研究。最后，文章對(duì)結(jié)合賣(mài)空策略的產(chǎn)業(yè)鏈量化多因子策略進(jìn)行了研究，發(fā)現(xiàn)其表現(xiàn)穩(wěn)定，盈利能力較強(qiáng)。
[Abstract]:The industrial chain investment law aims to integrate the relative volatility risk between companies by constructing the combination of upstream and downstream companies, and to obtain the investment performance with advantages in the level of risk and income, which has been confirmed by previous studies. But the industry chain investment law itself is a complex process, artificial manual stock selection is inefficient, can not give full play to its maximum effectiveness. As a kind of investment mode, quantitative investment is suitable for investment in industrial chain by using mathematics and computer technology, according to certain rules to invest and trade, which has the characteristics of scale and automatization. Based on this idea, this paper implements a functional and usable research platform for the quantification strategy of industrial chain investment, and studies the quantification strategy of industrial chain investment through this platform. In this paper, the quantitative factor model is used to select the stock of the upstream and downstream companies of the industrial chain, and the quantitative multi-factor model of the industrial chain is constructed by using the single factor design with good effect, and the simulated investment is studied. This paper includes a series of market indexes, such as Shanghai and Shenzhen 300 Index, Shanghai Composite Index, Hang Seng China Enterprise Index, etc. The statistical sampling method shows that the quantitative multi-factor strategy index of industrial chain is superior to the market index. In addition, this paper also discusses the evaluation index of investment performance, and restudies the quantitative investment strategy of industrial chain by using other indicators. Finally, the paper studies the quantitative multi-factor strategy of industry chain combined with short selling strategy, and finds that its performance is stable and its profitability is strong.
【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)】：F832.51;F275

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