| 有效因子综合偏好强度与CVaR整合优化模型 |
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| 引用本文： | 黄东宾,周丹丹,汪涌. 有效因子综合偏好强度与CVaR整合优化模型[J]. 运筹与管理, 2019, 28(3): 24-30. DOI: 10.12005/orms.2019.0053 |
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| 作者姓名： | 黄东宾 周丹丹 汪涌 |
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| 作者单位： | 重庆邮电大学 经济管理学院,重庆 400065 |
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| 基金项目： | 国家自然科学基金项目(71601026);重庆市基础前沿研究计划项目(cstc2017jcyjAX0359) |
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| 摘 要： | 本文从股票多维特征因子中选择有效因子,融合形成最大化有效因子综合偏好强度(IPS)的附加理性,构建并验证IPS-均值-CVaR投资组合优化模型。基于沪深300股2006～2015年数据分析显示:(1)有效因子IPS投资组合优越于单因子投资组合;(2)IPS方法相较于因子打分法,具有更优的多维数据整合功效;(3)IPS-均值-CVaR投资组合优化模型相对于均值-CVaR模型具有更优越的资产选择能力,也拓展了投资组合模型的多维数据处理能力和适用性。
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| 关 键 词： | 多因子投资组合 熵权TOPSIS 均值-CVAR 偏好强度 |
| 收稿时间： | 2018-02-15 |
Strength of Preference on Effective Factors Integratedwith CVaR Portfolio Choice Model |
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| HUANG Dong-bin,ZHOU Dan-dan,WANG Yong. Strength of Preference on Effective Factors Integratedwith CVaR Portfolio Choice Model[J]. Operations Research and Management Science, 2019, 28(3): 24-30. DOI: 10.12005/orms.2019.0053 |
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| Authors: | HUANG Dong-bin ZHOU Dan-dan WANG Yong |
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| Affiliation: | School of Economics and Management, Chongqing University of Posts and Telecommunications, Chongqing, 400065, China |
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| Abstract: | This paper examines the selection of effective factors out of various dimensions of variables that characterize the common stocks of a market, which are then put together to form an additional rationality of maximizing the integrated preference strength(IPS)of effective factors for investment portfolios; in a subsequent manner, an IPS-Mean-CVaR model for multiple-factor portfolio selection is constructed and tested. With 10-year-data analysis of Husheng 300 stocks from 2006 to 2015, here we report three conclusions: (1)the IPS portfolio, constructed with the integrated strength of preference of effective factors outperforms that of every single effective factors; (2)the entropy-TOPSIS technique demonstrates better utility of factors integration than the commonly applied factors scoring technique; and (3)an IPS-Mean-CVaR model outperforms the classical Mean-CVaR model, and expands the capability of data analysis and its applicability for portfolio optimization. |
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| Keywords: | Multi-factor portfolio selection Entropy-TOPSIS Mean-CVaR Strength of preference |
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