摘要
以国际套利定价理论为基础并对其进行拓展,构建了国际多因素模型。揭示国际组合套利行为的内在机理为:通过构建组合,对冲掉降低资产相关性的因素,或者增加能提高资产相关性的因素,实现用于套利的资产匹配。使用传统的均值-方差法求解出优化结果,并分析其缺陷所在。提出一种新的计算头寸比例的改进方法,即以资产相关性强弱作为构建套利组合的基本标准,采用资产组合复制技术,通过计算机程序对组合中各资产的价格时间序列进行预处理,再进行噪声清理和归一化处理后,得出优化的国际组合套利头寸比例,并以全球主要资本市场的指数作为研究对象进行实证分析。
Based on the extended international arbitrage pricing theory （IAPT）, an international multi-factor model is established. The mechanism of the international portfolio arbitrage behavior is revealed as： through establishing portfolio to reduce the factors which cause low relativity of the assets, and increase the factors which cause high relativity of the assets, and then the assets used for arbitrage can be matched. The shortage of using Mean-variance method to get the optimal weight of portfolio arbitrage is discussed. A novel approach to estimating optimal position ratio of international portfolio arbitrage is developed to improve the traditional method by using the relationship of the assets as the basic standard. The integrated method includes replica technique for assets portfolio, preprocessing of time series of the assets in the portfolio by computer programming, noise clearing and normalization. Then an empirical study is done by using the stock indices of the global stock markets.
出处
《系统工程》
CSSCI
CSCD
北大核心
2010年第5期13-19,共7页
Systems Engineering
基金
国家自然科学基金资助项目(70671075)
关键词
国际组合套利
资产相关性
噪声清理
头寸比例
均值-方差法
International Portfolio Arbitrage
Assets Correlation
Noise Clearing
Position Ratio
Mean-variance Method
