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本文首先阐述了文献中主要的证券投资组合权重调整策略,并从理论上论证了投机型证券投资组合权重调整策略的重要性;在此基础上,通过相应的实验,以香港恒生指数和花旗银行全球国债指数为例,对投机型证券投资组合权重调整策略的有效性进行了实证性验证。研究发现,虽然投机型证券投资组合权重调整策略的有效性随大市情况变化,但整个样本期内其在提高投资组合的风险收益率方面并未明显优于其他证券投资组合权重调整策略。换言之,本研究从风险和收益的匹配性视角没有支持目前部分研究所认为的投机型证券投资组合权重调整策略可以显著提高资产配置效率这一定性判断。
In this paper, firstly, the author mainly explains the weight adjustment strategy of securities portfolio in the literature and demonstrates the importance of the weight adjustment strategy of speculative portfolio investment theoretically. On the basis of this, through the corresponding experiments, we use Hong Kong’s Hang Seng Index and Citibank As an example, the validity of the strategy of adjusting the weight of the portfolio of speculative securities is verified by the example of the global government bond index. The research finds that although the effectiveness of the portfolio weighting adjustment strategy varies with the market conditions, it does not significantly outperform other portfolio weighting strategies in improving the portfolio’s risk-based return over the entire sample period. In other words, the research does not support the qualitative judgment that the investment adjustment method of speculative portfolio can significantly increase the efficiency of asset allocation, which is considered by some institutes from the perspective of risk and profit matching.