摘要
基于皮尔森相关性并结合投资学的知识介绍了如何挑选抗风险能力强的股票构建股票池.以股票池为研究对象,运用因子分析方法,得到能够代表股票投资价值的三个主成分,并以此构建了一套计算股票综合得分和判断股票投资价值是否被高估的综合体系,进一步筛选股票池中的股票.接着运用马科维茨投资组合理论,利用Python模拟得到了1000组股票组合的权重.最后基于理想解法原理得到各个风险等级的最优股票组合及其权重分布.这套体系对不同风险承受能力的投资者进行股票投资具有较强的指导意义.
Based on Pearson correlation and investment knowledge,this paper introduces how to select stocks with strong anti risk ability to build a stock pool.Taking the stock pool as the research object and using the factor analysis method,three main components representing the stock investment value are obtained.Based on this,a comprehensive system for calculating the comprehensive score of stock and judging whether the stock investment value is overestimated is constructed to further screen the stock votes in the stock pool.Then using Markowitz portfolio theory,using Python simulation to get the weight of 1000 groups of stock portfolio.Finally,based on the principle of ideal solution,the optimal stock portfolio and its weight distribution are obtained.This system has a strong guiding significance for investors with different risk tolerance to invest in stocks.
作者
张海鹏
朱家明
ZHANG Haipeng;ZHU Jiaming(School of International Economics and Trade,Anhui University of Finance and Economics,Bengbu 233030,China;School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Bengbu 233030,China)
出处
《河南科技学院学报（自然科学版）》
2020年第4期62-70,共9页
Journal of Henan Institute of Science and Technology(Natural Science Edition)
基金
国家自然科学基金项目(71934001)
安徽财经大学校教研究项目(acxkjsjy201803zd)
安徽财经大学校教研项目(acjyyb2018006)。
关键词
组合投资
分散风险
因子分析法
马科维茨投资组合理论
理想解法
portfolio investment
risk diversification
factor analysis
Markowitz portfolio theory
ideal solution
