| 国际组合套利机理及优化策略分析 |
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| 引用本文： | 陈伟忠,詹欣.国际组合套利机理及优化策略分析[J].同济大学学报(自然科学版),2010,38(11):1714-1718. |
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| 作者姓名： | 陈伟忠 詹欣 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 摘 要： | 以国际套利定价理论为基础并对其进行拓展,构建了国际多因素模型.通过进一步的数理分析,给出国际组合套利行为的定义,指出国际组合套利的触发条件和套利机会出现的决定因素,进而对国际组合套利行为的机理进行了系统描述:即通过构建组合,提高资产相关性,实现用于套利的资产匹配.在忽略交易成本的前提下,运用均值-方差法,求解出一种优化的套利组合权重.
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| 关 键 词： | 国际组合套利 公共风险因素 时间序列分析 相关性 均值方差法 |
| 收稿时间： | 2009/11/18 0:00:00 |
| 修稿时间： | 9/6/2010 4:37:29 PM |
Analysis on Mechanism of International Portfolio Arbitrage and Its Optimal Strategy |
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| CHEN Weizhong and ZHAN Xin.Analysis on Mechanism of International Portfolio Arbitrage and Its Optimal Strategy[J].Journal of Tongji University(Natural Science),2010,38(11):1714-1718. |
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| Authors: | CHEN Weizhong and ZHAN Xin |
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| Institution: | College of Economics and Management,Tongji University,Shanghai 200092,China;College of Economics and Management,Tongji University,Shanghai 200092,China |
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| Abstract: | Based on the extended international arbitrage pricing theory (IAPT),an international multiple factors model is established.Through relative mathematical analysis,the behavior of international portfolio arbitrage is defined,and the trigger conditions and determinants are described by the numbers.The mechanism of the international portfolio arbitrage behavior is revealed as: through establishing portfolio to increase relativity of the assets,the assets used for arbitrage can be matched.Under the condition without any transaction cost,an optimal weight of portfolio arbitrage can be solved with the mean variance method. |
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