基于TOPSIS的股票价值评价及投资组合选择

Portfolio Choices with Entropy-TOPSIS Stocks Pre-evaluation

在股票市场中,如何有效的选择出具有投资价值的股票并分散风险是投资决策的关键问题。选择沪深A股上市公司的基本面指标作为熵权-TOPSIS模型的决策指标,分行业对上市公司的年度表现进行综合排序,然后选取各行业排名靠前的上市公司股票构建均值-CVaR模型进行投资组合优化。结果显示,应用上述策略构建的投资组合其累计收益率明显超过单一的均值-CVaR投资组合以及市场指数,能够获得显著的超额收益。

A crucial inquiry of investment decision making is, how to select stocks perceived worthy of investing and effectively diversify the diversifiable risk in stock markets. This paper analyzes the fundamental data of listed companies in Husheng-A stock market, to select the worthy of investing companies in each industry by utilizing an Entropy-TOPSIS outranking model. Pooling together these preselected stocks with good rankings, we then adopt mean-CVaR model to construct optimal portfolio choices. Results show that this approach outperforms significantly the single step of mean-CVaR model, as well as the market index in terms of accumulated rate of return, and may yield remarkable excess return.