证券组合有效子集的统计检验及实证研究

中国管理科学 ›› 2012, Vol. ›› Issue (4): 52-59.

证券组合有效子集的统计检验及实证研究

蒋春福, 杨宇宽

深圳大学数学与计算科学学院, 广东深圳 518060

收稿日期:2011-07-23 修回日期:2012-02-08 出版日期:2012-08-29 发布日期:2012-08-29
基金资助:
国家自然科学基金资助项目(71101095);广东省自然科学基金资助项目(2008276)

Statistical Testing of Efficient Subset of Portfolio and Some Empirical Studies

JIANG Chun-fu, YANG Yu-kuan

College of Mathematics and Computational Science, Shenzhen University, Shenzhen 518060, China

Received:2011-07-23 Revised:2012-02-08 Online:2012-08-29 Published:2012-08-29

摘要/Abstract

摘要： 本文研究了投资组合管理中的证券子集选择问题,通过分析证券组合有效子集与均值-方差张成的关系,给出了一种新的基于统计推断的证券子集有效性检验方法,同时也拓展了Huberman和Kandel的均值-方差张成条件。实证结果表明,本文的方法相对于现有的基于矩阵秩的判别方法更稳健。

关键词: 证券组合, 有效子集, 统计检验

Abstract: In this paper, the issue of choosing an efficient subset from the whole stock set is considered in portfolio management. By analyzing the relation between efficient subset and mean-variance spanning, a testing method of portfolio efficient subset from statistical framework is provided. Some results that extend the conditions for mean-variance spanning given by Huberman and Kandel are also obtained. The empirical results show that our methods are more robust in contrast to the present searching method of subset by comparing rank of matrix.

Key words: portfolio, efficient subset, statistical testing

中图分类号:

F224
O29

蒋春福, 杨宇宽. 证券组合有效子集的统计检验及实证研究[J]. 中国管理科学, 2012, (4): 52-59.

JIANG Chun-fu, YANG Yu-kuan. Statistical Testing of Efficient Subset of Portfolio and Some Empirical Studies[J]. Chinese Journal of Management Science, 2012, (4): 52-59.

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