本文選題：指數(shù)分層結(jié)構(gòu)算法 + 行業(yè)分類��； 參考：《系統(tǒng)科學(xué)學(xué)報(bào)》2017年03期

【摘要】：本文以20個(gè)行業(yè)為樣本,使用指數(shù)分層結(jié)構(gòu)算法對(duì)其進(jìn)行分類,發(fā)現(xiàn)基于拓?fù)浣Y(jié)構(gòu)特征的不同周期的行業(yè)分類結(jié)果具有穩(wěn)定性。據(jù)此構(gòu)建不同規(guī)模的行業(yè)資產(chǎn)組合,并將組合業(yè)績(jī)與開放式基金業(yè)績(jī)進(jìn)行對(duì)比,發(fā)現(xiàn)組合的適度行業(yè)規(guī)模在4左右,不同組合在初期均表現(xiàn)出明顯業(yè)績(jī)優(yōu)勢(shì),且相對(duì)指數(shù)基金的業(yè)績(jī)優(yōu)勢(shì)更明顯。
[Abstract]:In this paper, 20 industries are selected as samples, and the exponential hierarchical structure algorithm is used to classify them. It is found that the classification results of different periods based on topological structure features are stable. Based on this, the industry asset portfolio of different scale is constructed, and the performance of portfolio is compared with that of open-end fund. It is found that the moderate industry scale of portfolio is about 4, and the different combination shows obvious performance advantage at the initial stage. And relative to the performance of the index fund advantage is more obvious.
【作者單位】： 廣州大學(xué)經(jīng)濟(jì)與統(tǒng)計(jì)學(xué)院;
【基金】：廣東省哲學(xué)社會(huì)科學(xué)基金(GD14XYJ16) 廣東省教育廳人文社科平臺(tái)基金(2014WQNCX074)
【分類號(hào)】：F121.3
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本文編號(hào)：2094337