| 基于实际波动率的组合选择实证研究 |
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| 引用本文： | 马玉林,刘瑞花.基于实际波动率的组合选择实证研究[J].经济数学,2007,24(2):162-171. |
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| 作者姓名： | 马玉林 刘瑞花 |
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| 作者单位： | 1. 山东财政学院,济南,250014
2. 中信建投证券,济南,250001 |
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| 摘 要： | 本文对证券组合三因素的7种预测方法进行了实证研究和敏感性检验,得出结论:若以周作为组合持有期,则不论何种收益预测方法,基于实际波率的ARFIMA方法在组合持有期上均取得了正的超额收益;基于实际波动率的ARFIMA法在组合选择的各种方法中是最优的.
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| 关 键 词： | 实际波动率 组合选择 ARFIMA |
| 修稿时间： | 2005年11月21 |
EMPIRICAL STUDY ABOUT PORTFOLIO BASED REALIZED VOLATILITY |
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| Ma Yulin,Liu Ruihua.EMPIRICAL STUDY ABOUT PORTFOLIO BASED REALIZED VOLATILITY[J].Mathematics in Economics,2007,24(2):162-171. |
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| Authors: | Ma Yulin Liu Ruihua |
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| Abstract: | For 3 factors about portfolio,this paper empirically studies seven method's actual forecasting effect,and sensitivity test is performed also.The conclusions are:if we take one week as the portfolio's holding-period,then no matter which return-forecasting method we use,ARFIMA method based on realized volatility all have plus extra return in the holding period;ARFIMA based on realized volatility is the best in all kinds of porfolio selecting methods. |
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| Keywords: | Realized volatility portfolio ARFIMA |
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