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基于斯坦规则的投资组合管理改进研究 被引量：2

Improvement of Portfolio Management Based on Stein Rule
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摘要 根据斯坦规则原理 ,以均值—方差模型投资权重为样本信息 ,以市场证券组合的投资权重为非样本信息 ,研究了如何确定投资权重收缩估计量的最优收缩强度 ,实现了投资组合主动管理与被动管理的有机结合。实证结果表明 ,在投资组合管理领域运用斯坦规则进行预测 。 By taking the weight of mean-variance model as the sample information and taking the weight of market portfolio as the non-sample information,the shrinking intensity of investment weight was studied by Stein rule. The combination of the active portfolio management with passive portfolio one was realized. The test verified that Stein rule portfolio management model could get better performance than the classical mean-variance model when the performance was forecasted in the field of portfolio management.
作者 李俭富 曾勇
机构地区 电子科技大学管理学院
出处 《管理学报》 2004年第3期298-303,共6页 Chinese Journal of Management
基金 教育部优秀青年教师资助计划项目 (教人司 [2 0 0 3 ]3 5 5号 )
关键词 组合管理 斯坦规则 投资权重 收缩强度 portfolio management Stein rule investment weight shrinking intensity
分类号 F830.9 [经济管理—金融学]
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参考文献15

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二级参考文献14

共引文献11

同被引文献17

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二级引证文献6

管理学报
2004年 第3期

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