基于风险调整后收益的A股投资组合策略

中国资本市场经过20多年的发展，股票数量和交易总量都已初具规模，股票成为一种重要的资产配置。伴随着中国经济由高速增长向高质量发展转变，优胜劣汰的结构性行情成为市场的主基调。针对这种情况，提出了一种能够获取稳定预期收益的A股投资组合构建策略，通过风险调整后收益评价股票的投资价值，进而通过总股本构建投资组合，可供以资产配置为目的的投资者参考使用。

Research on portfolio strategy of A shares based on risk adjusted returns

After more than 20 years of development in China’s capital market, the number of stocks and the total volume of transactions have begun to take shape, and stocks have become an important asset allocation. With the transformation of China’s economy from high-speed growth to high-quality development, survival of the fittest in the market has become the main trend. In view of this situation, a strategywas put forward to construct A-share portfolio, which can obtain stable expected returns.It evaluates the investment value of stocks through risk-adjusted returns,and then constructs a portfolio through total equity, which can be used for reference by investors for asset allocation purposes.