基于主成分差异系数的投资模型研究

A Research of Portfolio Selection Model Based on Difference Coefficient of Principal Component

本文充分利用多元统计分析的技术,提出了用主成分综合反映证券市场的信息;用主成分的差异系数作为投资组合的指标;得到了一个新的投资组合模型,并给出了具体的投资策略———卖空与非卖空条件下的投资组合的比例。

Based on the technology of multivariate statistical analysis,taking the principal component as the information of stock market;the difference coefficient of principal component as the portfolio selection index are put forward.A new portfolio selection model is presented.