基于（ α，H） 的投资策略的有效性：来自国际投资的证据

doi:F 830.91

系统管理学报 ›› 2015, Vol. 24 ›› Issue (3): 333-341.DOI: F 830.91

基于（ α，H）的投资策略的有效性：来自国际投资的证据

蒋崇辉1，曾婷1，马永开1，安云碧2

1.电子科技大学经济与管理学院，成都 610054；2.温莎大学商学院，温莎加拿大 N9B 3P4

收稿日期:2013-08-16
作者简介:蒋崇辉（1980-），男，博士，副教授。研究方向为资产组合选择和资产定价。 E-mail: jiangchonghui@uestc.edu.cn
基金资助:
国家自然科学基金资助项目（71101019）；教育部博士点基金资助项目（20100175110017）；中央高校基本科研业务费资助项目（ZYGX2009J117）

Effectiveness of Investment Strategy based-on (α, H): The Evidence from International Investment

JIANG Chong-hui1，ZENG Ting1，MA Yong-kai1，AN Yun-bi2

1. School of Management and Economics，University of Electronic Science and Technology，Chengdo 610054，China；2. School of Business，University of Windsor，Windsor N9B 3P4，Canada

Received:2013-08-16

摘要/Abstract

摘要： 基于的投资策略就是在资产组合的收益率低于的概率不超过的条件下使得组合期望收益率最大的投资策略。本文选取26个国家或地区的市场指数数据，分别通过模拟和实证方法考察了这种投资策略的在国际投资中的有效性。模拟结果表明，相对于等权策略和最小方差策略，基于的投资策略能为投资者带来更高的收益水平和夏普比率；实证结果也表明，基于的投资策略也能为投资者带来更高收益水平，在不允许卖空的情况下，该策略能为投资者带来比等权策略更高的夏普比率。此外，组合的选择对这种投资策略的业绩产生重要影响。

关键词: 基于（ &alpha, H）的投资策略, 投资业绩, 实证分析

Abstract: -based investment strategy is a strategy to maximize expected portfolio return subject to a specified maximum probability of failing to reach a pre-specified threshold return H. This paper investigates the effectiveness of the strategy via a simulation and an empirical analysis using the data of 26 market indexes. The simulation results show that, compared with equally weighted portfolio and minimum variance portfolio strategy, -based strategy can help investors gain higher expected return and Sharpe ratio, and the empirical results confirm that specifically, -based strategy can bring higher expected return for investors and it also can bring higher Sharpe ratio if no-short-selling constraints is imposed. However, the selection of the combination has a significant impact on the portfolio performance of the strategy.

Key words: (&alpha, , H)-based investment strategy；investment performance；empirical analysis

蒋崇辉1，曾婷1，马永开1，安云碧2. 基于（ α，H）的投资策略的有效性：来自国际投资的证据[J]. 系统管理学报, 2015, 24(3): 333-341.

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