摘要
有效市场是现代金融学理论的基石,也是数量化金融市场理论的核心。有效市场是建立在收益率时间序列数据必须满足正态分布基础上,但是大量的实证分析发现,收益率时间序列数据并非完全或者不满足正态分布,为此Edgar?E?Peters提出了分形市场假说,分形市场理论假定收益率时间序列服从分形分布,其核心是Hurst提出的R/S分析法(Hurst指数),通过R/S法计算Hurst指数H,并由此得到分形维数α,通过分形维度量投资风险。利用分形市场理论,选取大成基金管理公司中的开放式股票型基金大成创新基金实证分析,用收益率时间序列的分形维度量风险,判定基金十大重仓股个股以及投资组合的风险大小,并且对投资组合进行优化,求出最优投资比例。
The efficient market is the cornerstone of modern finance theory, also the core of quantity financial theory. The effective market theory is based on that time-series data must meet the normal distribution, but in the empirical analysis showed that yield time-series data not meet the normal distribution. Edgar·E · Peters proposed Fraetal market hypothesis, fractal time series without assuming normal distribution, the core is made Hurst R / S analysis （Hurst index）, by R / S method Hurst index, getting the dimension of the time-series data, and measuring the investment risk by the amount of fractal dimensiono Through fractal theory of the market, selecting the Fund Management Company of Dacheng in the open-stock funds Dacheng Innovation Fund Analysis, a new fractal dimension of risk metrics, determining the fund ten Awkwardness of individual stocks and the risk of the portfolio size and investment portfolio optimization and to identify a portfolio of funds, the average wave period.
出处
《金融理论与实践》
北大核心
2010年第12期78-82,共5页
Financial Theory and Practice
