基于分层市值加权法的沪深300股票指数模拟组合构建

Mimic Portfolio of HS300 Stock Index by the Capitalization Weighted-stratified Method

对市值加权法构建股票指数模拟组合时权重股的选取和分层市值加权法的基本步骤进行了分析,并根据行业分类,采用分层市值加权法构建了沪深300指数的模拟投资组合。

The number of the capitalization weighted stocks is proposed and the step to construct the mimic portfolio by the capitalization weighted-stratified method is analyzed. The mimic portfolio of HS 300 stock index is constructed by the above method.