网络视角下基于夏普比率的投资组合策略

Portfolio Strategy Based on Sharpe Ratio:A Network Perspective

研究基于最大化夏普比率准则和四种相依网络,构造投资组合优化问题,运用滚窗法探讨动态调整的最优投资策略。夏普比率的引入使得投资者在优化问题的目标函数中可以同时考虑收益和风险,四种网络结构分别考虑到了资产间的线性、非线性及尾部的相互依赖关系。基于上海证券交易所股票及基金数据的实证研究发现:最大化夏普比率准则的模型可以产生更积极的动态调整策略,更适用于风险偏好投资者;不同的相依网络对于优化资产配置结构和外样本累积收益影响较小。

Based on the maximized Sharpe ratio criterion and four dependency networks,the portfolio optimization problems are constructed,and the optimal rebalancing investment strategy is explored by using the rolling window method.The introduction of Sharpe ratio enables investors to consider both return and risk simultaneously in the objective functions of the optimization problems,and the four network structures respectively consider the linear,nonlinear and tail interdependence among assets.The empirical study based on the stock and fund data of Shanghai Stock Exchange shows that the model based on maximized Sharpe ratio criterion can produce more active replacing strategies and is more suitable for risk-appetite investors;and that different dependency networks have less impact on optimizing asset allocation structure and the out-of-sample cumulative return.