CSpace  > 应用数学研究所
基于高频夏普指数的组合证券投资模型
王艳; 陈敏; 赵子龙
2015
Source Publication系统工程理论与实践
ISSN1000-6788
Volume35Issue:1Pages:17
Abstract资产选择与最优组合权重的设置是构建投资组合的两个关键步骤.利用日内高频数据构建一个夏普指数序列来进行资产选择,同时考虑多种组合策略.以沪市A股市场数据进行样本外实证分析.结果表明,不论市场处于下行还是上行行情,基于高频夏普指数选股方法构建的组合都能得到较高的风险调整收益,并具有较小的风险,同时在最优风险组合下,能得到可观的超额收益.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/41486
Collection应用数学研究所
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
王艳,陈敏,赵子龙. 基于高频夏普指数的组合证券投资模型[J]. 系统工程理论与实践,2015,35(1):17.
APA 王艳,陈敏,&赵子龙.(2015).基于高频夏普指数的组合证券投资模型.系统工程理论与实践,35(1),17.
MLA 王艳,et al."基于高频夏普指数的组合证券投资模型".系统工程理论与实践 35.1(2015):17.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[王艳]'s Articles
[陈敏]'s Articles
[赵子龙]'s Articles
Baidu academic
Similar articles in Baidu academic
[王艳]'s Articles
[陈敏]'s Articles
[赵子龙]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[王艳]'s Articles
[陈敏]'s Articles
[赵子龙]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.