基于信用配置的中国基金公司选股策略优化研究——来自层次分析法的理论与实证

Study on Optimized Stock-picking Strategy for Fund Companies Based on Credit Allocation——From Analytic Hierarchy Process Method

传统的选股策略忽视信用配置原则,导致基金公司风险与收益之间无法有效匹配,不利于证券市场的稳定发展。对此,基于信用配置原则,运用层次分析法设计了基金公司选股策略的评价指标体系,构建了基金公司选股策略的评价模型,并以此为基础,选取相关样本股票,对基金公司选股策略进行了实证分析。研究发现,基于信用配置的股票组合资产,其收益明显高于大盘指数,足以说明该选股策略具有显著的优化效应。

Traditional stock-picking strategy ignored the principle of credit allocation, which resulted in ineffective matching of the risks of fund companies with their returns, and were not conducive to the steady development of se- curities market. Thus, the paper designs an indicator assessment system and an assessment mode of stock-picking strategy for fund companies by using AHP analysis based on the principle of credit allocation. Then, an empirical analysis is made on the stock-picking strategy for fund companies by choosing related sample stocks. The study has found that the returns for stock portfolio based on the principle of credit allocation are apparently higher than the market index, showing that this stock -picking strategy is powerful with apparent optimization effect.