摘要
本文采用随机等权重有放回抽样方法 ,以周收益率为指标 ,以沪深 A股为样本股 ,对组合收益率时间序列的分布特征进行实征研究 .研究结果表明 :组合收益率序列并不呈现出正态分布的情形 ,并且随着组合数的增加 ,组合收率序列的尖峰厚尾特征并没有显著改善 ,由此得出用方差来刻画组合收益率风险特征并不合适 .文章最后用 GARCH模型对组合收益率时间序列进行了模拟 .
This paper builds up portfolios through random sampling the securities in Shen and Hu security market, and studies the distributions of portfolio weekly return time series. The conclusions show that the portfolios dont show normal, that the leptokurtic and thicker tail are not improved distinctly with the increase of portfolio are gotten. So it is not reasonable that taking portfolios variance as portfolios risk. Finally, this paper uses GARCH model regressing the portfolio return time series.
出处
《经济数学》
2003年第4期52-57,共6页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目 ( 70 2 73 0 2 7)