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本文针对中国股票市场的实际特点,对几种典型的投资策略进行了分析比较。本研究选取不同类型的数据库作为研究对象,截取出不同时间段的数据用以检验各种投资策略在各种投资背景下的表现。检验结果表明,对于行业层面的投资而言,基于数量化模型的优化策略总体表现较好;但在个股层面,市场组合策略的总体表现较好。此外,当资产数目较大时,简单的1/N平均投资策略在个股层面的投资表现也较为突出。而在股市行情处于单一的牛市或熊市的情形下,基于数量化模型的优化策略的表现比它们在长期平均行情下的表现更好。本文初步探析了这些现象背后的原因。这些结果表明策略类型的选择、参数估计的样本选取是实际投资操作中不可忽视的环节。
In this paper, according to the actual characteristics of China’s stock market, several typical investment strategies are analyzed and compared. This study selected different types of databases as the research object, intercepted data of different time periods to test the performance of various investment strategies in various investment contexts. The test results show that for the industry-level investment, the optimization strategy based on the quantitative model performs better overall; however, the overall performance of the market portfolio strategy is better on the individual-stock level. In addition, when the number of assets is large, the simple 1 / N average investment strategy also has outstanding investment performance at the individual level. While the stock market is in a single bull market or bear market, optimization strategies based on quantitative models perform better than they do under long-term average. This article initially explores the reasons behind these phenomena. These results indicate that the choice of strategy type and the sample selection of parameter estimation are not negligible links in the actual investment operation.