聚类分组法修正协方差阵的最佳投资组合方案

The optimal portfolio with modified covariance matrix using clustering method

给出了Markowitz模型的解并分析了最优化投资组合不稳定的原因.在此基础上,提出了一个新的方法:用聚类分组法调整样本协方差阵从而得到一个更好的投资组合.为了证明该方法的合理性,运用来自中国股市的真实数据来模拟"真实的投资".事实证明,用这种方法所得到的投资组合较传统方法有更好的收益率和更低的风险,且可以用风险预测来进行事后验证.

. The Markowitz optimal portfolio was introduced and the reason why the result was unstable was analyzed. Based on this analysis, a new method was presented. Using the clustering method to modify the sample covariance matrix to get a better investment option. To prove the new method＇s reasonableness, real data from the Chinese stock market were used to simulate ＂real investment＂. It was found that the portfolio obtained from this method was better in both mean return and stability than the traditional method, which can be further verified by using risk prediction.