基于指数分层结构算法的行业分类及资产优化配置研究

发布时间：2018-07-03 17:02

  本文选题：指数分层结构算法 + 行业分类　； 参考：《系统科学学报》2017年03期

【摘要】：本文以20个行业为样本,使用指数分层结构算法对其进行分类,发现基于拓扑结构特征的不同周期的行业分类结果具有稳定性。据此构建不同规模的行业资产组合,并将组合业绩与开放式基金业绩进行对比,发现组合的适度行业规模在4左右,不同组合在初期均表现出明显业绩优势,且相对指数基金的业绩优势更明显。
[Abstract]:In this paper, 20 industries are selected as samples, and the exponential hierarchical structure algorithm is used to classify them. It is found that the classification results of different periods based on topological structure features are stable. Based on this, the industry asset portfolio of different scale is constructed, and the performance of portfolio is compared with that of open-end fund. It is found that the moderate industry scale of portfolio is about 4, and the different combination shows obvious performance advantage at the initial stage. And relative to the performance of the index fund advantage is more obvious.
【作者单位】： 广州大学经济与统计学院;
【基金】：广东省哲学社会科学基金(GD14XYJ16) 广东省教育厅人文社科平台基金(2014WQNCX074)
【分类号】：F121.3
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本文编号：2094337