影响收益的公司指标在最优投资组合选择中的应用

如何从数目巨大的市场股票集中选取一组特定的股票作为最优投资组合选择模型的输入,以确保最终的投资方案具有优异而稳定的表现一直是投资理论界和实务界关注的重点.为此,本文基于作者新近结合中国股市特性并采用新方法所确定影响中国股票收益的多个公司基本特性指标,设计了一个恰当的股票预选策略,并由此导出了新型而稳健的投资组合选择两阶段法.实证结果表明新方法能使投资者便捷地找到更稳健的投资策略.

The Application of Return-affecting Firm Characteristics in Optimal Portfolio Selection

One important topic that investment academicians and practitioners have been focusing on is: how to choose a specific group of stocks,from numerous market securities,as the input of a optimal portfolio selection model so that the final investment strategy has superior and robust performance.For this reason, on the basis of our recent study of important firm characteristic indicators affecting stock returns in Chinese stock markets,a proper stock pre-selecting scheme and a new two-stage investment decision making method are proposed in this paper.Empirical results show that one can quickly find a much better and robust investment strategy with our new method.