基于β系数优化的动态投资组合策略研究

Dynamic Portfolio Management Strategy with Adaptive Beta Coefficients

本文提出一种股票动态投资组合策略,首先通过上升和下降贝塔来优选行业,然后在选择的行业中构造股票投资组合。对于股票投资组合,利用均值方差投资组合模型作为内核,通过引入参考时间窗口和持有期限窗口两个外生参数构建动态的均值-方差模型,并实证检验了模型的可行性。然后再经过多项业绩评价指标对比分析得出动态投资组合策略的收益明显优于被动投资策略,这种动态投资组合策略能够获得部分超额收益并且具有更好的可靠性。本研究为投资者提供了一种定量的投资组合管理方法,并从侧面验证了我国股市的非有效性。

A new 2-level dynamic portfolio management strategy for stock investment is proposed in this paper.First of all,industrial sectors are selected according to their relative strength in terms of adaptive beta coefficients.Then stocks of the selected sectors are grouped into a stock portfolio which is managed through a dynamic multi-period mean-variance model.This dynamic model uses the classic mean-variance theory as the kernel,and the model parameters-the portfolio weights–are solved out using the data from the immediate preceding period with a certain length L.The portfolio with the solved weights is then held on for the immediate follow-up period with a certain length H.These two exogenous parameters(L,H)are optimized through historical data.This dynamic portfolio management strategy has been tested using historical data from the Chinese stock market,showing better performance than passive index-tracking investment strategies in three performance appraisal metrics(including annualized returns,risk-adjusted returns and prediction market return).In particular,the dynamic portfolio strategy can earn better excess risk-adjusted returns.The 2-level dynamic portfolio strategy provides a computationally feasible and operationally reliable stock portfolio management approach.All in all,aquantitative and dynamic asset management methodology for investors is proposed in this paper.On one hand,it verifies the Chinese stock market is ineffective;on the other hand,it can help investors decide how to allocate their wealth.