摘要
在欧美发达国家数量化投资策略应用于基金已有40多年历史,之前主要应用于对冲基金、养老基金等非公募基金上,而近年出现的130/30空头扩展数量化投资策略作为共同基金和对冲基金的折中产品,可应用于公募基金,广受投资者欢迎。通过基于市场模型实际构建一个130/30投资组合,考察阿尔法量化投资策略和130/30投资策略在中国应用的可行性。
It has been more than 40 years since quantitative investment strategy is used in funds in the developed countries such as Europe and Amedea. Previously it was mainly used in non -public funds, but the recently emerging 130/30 short -extended quantitative investment strategy which is a compromise product of mutual fund and hedge fund and can be used in mutual fund is very popular with investors. This article actually constructs a 130/30 investment portfolio based on market model to investigate the alpha quantitative investment strategy and the feasibility of 130/ 30 strategy used in China.
出处
《哈尔滨商业大学学报（社会科学版）》
CSSCI
2013年第1期94-102,共9页
Journal of Harbin University of Commerce:Social Science Edition
基金
2010年教育部人文社会科学规划基金项目(10YJA79115)
