基于(α,H)的投资策略的有效性:来自国际投资的证据

Effectiveness of Investment Strategy based-on(α,H):The Evidence from International Investment

基于(α,H)的投资策略就是在资产组合的收益率低于H的概率不超过α的条件下,使得组合期望收益率最大的投资策略。选取26个国家或地区的市场指数数据,分别通过模拟和实证方法考察了这种投资策略在国际投资中的有效性。模拟结果表明,相对于等权策略和最小方差策略,基于(α,H)的投资策略能为投资者带来更高的收益水平和夏普比率;实证结果也表明,基于(α,H)的投资策略也能为投资者带来更高收益水平,在不允许卖空的情况下,该策略能为投资者带来比等权策略更高的夏普比率。此外,(α,H)组合的选择对这种投资策略的业绩产生重要影响。

（a, H） -based investment strategy is a strategy to maximize expected portfolio return subject to a specified maximum probability a of failing to reach a pre-specified threshold return H. This paper investigates the effectiveness of the strategy via a simulation and an empirical analysis using the data of 26 market indexes. The simulation results show that, compared with equally weighted portfolio and minimum variance portfolio strategy, （a,H）-based strategy can help investors gain higher expected return and Sharpe ratio, and the empirical results confirm that specifically, （a , H） -based strategy can bring higher expected return for investors and it also can bring higher Sharpe ratio if no-short-selling constraints is imposed. However, the selection of the combination （a,H） has a significant impact on the portfolio performance of the strategy.