| 基于随机模拟的资产组合有效子集的精确检验方法 |
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| 引用本文： | 蒋春福,彭泓毅.基于随机模拟的资产组合有效子集的精确检验方法[J].系统工程理论与实践,2014,34(7):1648-1661. |
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| 作者姓名： | 蒋春福 彭泓毅 |
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| 作者单位： | 1. 深圳大学 数学与计算科学学院, 深圳 518060;2. 华南农业大学 理学院, 广州 510642 |
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| 基金项目： | 国家自然科学基金(71101095);广东省自然科学基金(2008276) |
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| 摘 要： | 考虑到资产组合有效子集的渐近检验方法通常只适用于大样本情形，为了提高在有限样本和小样本情形下有效子集判定的准确性和稳定性，通过分析资产组合有效子集新的判定条件，提出了一种基于Block-Bootstrap随机模拟的有效子集精确检验方法，同时对几类一致性协方差阵估计下的稳健检验方法进行了检验功效和检验水平的比较，模拟结果表明基于Block-Bootstrap随机模拟的精确检验方法更为可靠，实证结果也表明该方法得到的有效子集更为稳定.
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| 关 键 词： | 资产组合 有效子集 精确检验 分块自助法 |
| 收稿时间： | 2012-09-27 |
Simulation based exact test of efficient subset of portfolio |
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| JIANG Chun-fu,PENG Hong-yi.Simulation based exact test of efficient subset of portfolio[J].Systems Engineering —Theory & Practice,2014,34(7):1648-1661. |
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| Authors: | JIANG Chun-fu PENG Hong-yi |
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| Institution: | 1. College of Mathematics and Computational Sciences, Shenzhen University, Shenzhen 518060, China;2. College of Science, South China Agricultural University, Guangzhou 510642, China |
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| Abstract: | Given the applicable limitation of the asymptotic test of efficient subset of portfolio to the large sample cases, by analyzing the equivalent conditions for determining efficient subset of portfolio, a new test method based on block-bootstrap simulation was proposed to improve the stability and accuracy of testing in the small or finite sample cases. The power and size of test were also compared with several tests based heteroskedasticity-consistent covariance matrix estimator. The results of simulation and empirical study shown that the test based on block-bootstrap simulation was more robust and reliable. |
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| Keywords: | portfolio efficient subset exact test block-bootstrap |
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