基于ARMA模型与均值-方差模型的我国股市投资组合选择

A Study of Portfolio Selection for Investment in China's Stock Market Based on the ARMA Model and the Mean-Variance Model

基于统计假设检验、财务分析以及ARMA预测模型,并采用一个扩展均值-方差投资组合模型,研究了在我国A股市场构建具有实践意义的投资组合的问题.结果表明,由本研究分析框架得到的投资组合是比较有效的,该组合的实际月收益率最小值为8.2%,且在实际的股票投资中具有较强的操作性;同时,投资组合是一个动态过程,需要根据预测和实际运行情况不断进行修正.

The construction of a practical portfolio for investment in China’s A-share market is discussed based on statistical hypothesis testing, financial analyses and the ARMA prediction model, and by means of an extended mean-variance portfolio model. The results show that this analytical framework is relatively effective, with the minimum real monthly return rate of the portfolio studied being 8.2%, and it is a highly operable. Meanwhile, the portfolio construction is a dynamic process which has to be improved continually in accordance with prediction and actual operation.