| 基于ARIMA的基金组合绩效成长性的预测 |
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| 引用本文： | 周奕琛,薛惠锋,张斌.基于ARIMA的基金组合绩效成长性的预测[J].数学的实践与认识,2013,43(5):73-78. |
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| 作者姓名： | 周奕琛 薛惠锋 张斌 |
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| 作者单位： | 1. 中国航天科技集团公司第710研究所,北京,100048
2. 中邮人寿保险股份有限公司,北京,100808 |
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| 摘 要： | 对投资机构而言,准确预测其投资组合的成长性能够为其未来的组合管理提供有效参考.ARIMA时间序列模型能够针对具有时间序列属性的数据进行预测.选取三只债券型基金组成投资组合A并计算其组合指数,以中信标普全债指数为参考,通过ARIMA时间序列模型预测投资组合A的组合指数与中信标普全债指数的差额来预测投资组合A的成长性.
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| 关 键 词： | 基金组合 ARIMA 时间序列 量化分析 |
A Forecast to the Development of a Fund Portfolio Based on ARIMA Analysis |
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| ZHOU Yi-chen
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XUE Hui-feng
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ZHANG Bin.A Forecast to the Development of a Fund Portfolio Based on ARIMA Analysis[J].Mathematics in Practice and Theory,2013,43(5):73-78. |
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| Authors: | ZHOU Yi-chen XUE Hui-feng ZHANG Bin |
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| Institution: | 1.China Aerospace Science and Technology Corporation No.710 Institute,Beijing 100048,China) (2.China Post Life Investment Management Centre,Beijing 100808,China) |
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| Abstract: | A reliable forecasting is crucial in adjusting managerial strategies for a particular investment portfolio.Meanwhile,the ARIMA series model is widely applied in forecasting time series data.In this research,three bond funds are selected to establish a investment portfoho A,and compared its index with a target bond index.The ARIMA is then applied to forecast the development of portfoho A by predicting the gap between these two indexes. |
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| Keywords: | fund portfolio ARIMA quantitative analysis |
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