动态投资组合策略在我国股市的应用研究——基于沪深300行业指数的实证分析

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1、万方数据重庆工商大学硕士学位论文ABSTRACTAPPLICATIONOFDYNAⅣⅡCPORTFOLIOSTRATEGYINCH口口NA’SSTOCKMARKET—E御埘CALANAI．，YSISOFT眦CSI300S}ECTORINDICESABSTRACTInfinancialinvestments，risksandbenefitsCO-exist．Whetherinrealityorinfinancialinvestmentresearch，peoplearerisk-averseandthepursuitofprofit．Tosolvetheprob

2、lemofrationaluseofinvestorfundstoachievernax幽fionofretul]1whilekeepingtheriskcapped,Markowitzfoundedtheportfoliotheoryin1952，Afar也aLwiththedevelopmentoffinancialmarketsindevelopedcountries，institutionalinvestorsorindividualinvestorsindevelopedcountriesgraduallybegantoapplyporffoHoth

3、eoryinthestockmarkets，foreignexchangemarkets，bondmarketsandothermajorcapitalmarkets．However,Chinesecapitalmarketdevelopmenthaslaggedbehindthedevelopedcountries．Consequently,boththeacademicresearchandpracticalapplicationsoftheportfoliotheoryhavelaggedbehindthedevelopedcountriestoo．Ne

4、vertheless，inrecentyears，withtheimprovementofChina'sstockmarketsystem，theefficiencyoftheChinesestockmarkethasimproved，institutionalinvestorsstarttoconsiderusingtheportfoliotheorytheportfoliotheoryhasgraduallybecomeanindispensabletoolforChineseinvestors．Thisthesisproposesadynamicport

5、foliotheoreticalmodelforthesectorindicesoftheChinesestockmarket，Technically,theMean-Variance(M·V)modelofMarkowitzisusedasakernelforthisnewdynamicmodel．TheparametersoftheM-VmodelisdynamicallyestimatedusingthemostrecenthistoricaldataoflengthL，andthentheparameterizedmodelisappliedthrou

6、ghoutthefutureperiodoflengthT．However,inordertofmdouttheoptimalrangeofthesetwoexogenousparameters(L，D，backtestisconductedoverhistoricaldata．Andthisbacktestinghastoberepeateddynamicallytoo．Thethesisstarts谢也abriefintroduction(Chapter1)totheinvesunentmethodologiesinthestockmarkets，thed

7、efinitionandsignificanceoftheChineseStockIndex(csD300，theindustrialsectorclassificationintheCSIindex．ThenChapter2providesaliteraturereviewOntheportfoliotheoryfromMarkowitzuptothepresentdays，focusingOntheM-VⅡI万方数据modelofMarkowitz，themulti-periodportfoliomodelsandoptimalinvestmentandc

8、onsumptionmodels．Ch