| 通过波动性预测模型的选择构造投资组合 |
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| 引用本文： | 李颖悦,孟凡武. 通过波动性预测模型的选择构造投资组合[J]. 唐山师范学院学报, 2003, 25(3): 47-49 |
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| 作者姓名： | 李颖悦 孟凡武 |
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| 作者单位： | 1. 电子科技大学,管理学院,四川,成都,610054
2. 青岛啤酒一厂,山东,青岛,266023 |
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| 摘 要： | 在非对称性GARCH模型及BEKK模型的基础上研究了综合市场对角投资组合战略，通过检验发现基于BEKK模型的投资组合表现优于非对称性GARCH模型的投资组合表现，并且发现GMV投资组合权重对波动模型及协方差矩阵的依赖性。同时也指出了方差在投资组合表现中的重要性远大于协方差。
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| 关 键 词： | 波动性预测 投资组合 GARCH模型 BEKK模型 投资组合 投资决策 |
| 文章编号： | 1009-9115(2003)03-0047-03 |
| 修稿时间： | 2002-09-28 |
Investment Combination through Choices Of Model of Fluctuating Prediction |
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| LI Ying-yue,MENG Fan-wu. Investment Combination through Choices Of Model of Fluctuating Prediction[J]. Journal of Tangshan Teachers College, 2003, 25(3): 47-49 |
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| Authors: | LI Ying-yue MENG Fan-wu |
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| Abstract: | Through the researches on non-symmetry model GARCH and model BEKK, the authors investigate cross investment combination strategy in comprehensive market, find out through inspection that the combination on the base of model BEKK is superior to that of model GARCH, find out the dependence of weight of the investment combination of GMV on fluctuating model and convariance matrix, and point out that the importance of variance in investment combination is far better than convariance. |
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| Keywords: | model GARCH model BEKK fluctuating prediction cross investment combination |
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