时-频域视角下的集成高阶矩投资组合策略研究

针对以往研究不足,本文基于时-频域视角,借鉴分解-集成思想,将极大重叠离散小波变换方法与高阶矩投资组合框架相结合,构建了小波-集成高阶矩投资组合模型.鉴于小波函数诸多且性质各异,本文又提出分解-混合-集成思想,并构建混合小波-集成高阶矩投资组合模型.基于股票、原油和黄金数据,本文采用构建的模型进行样本外投资组合检验和分析,并进行稳健性检验,实证结果表明:相较于对照组,小波-集成高阶矩策略取得了较好的投资效果,为投资者带来更高的收益、夏普比率以及效用水平;凭借混合诸多小波函数的优势,混合小波-集成高阶矩策略取得了更佳的组合效果,显著优化了小波-集成高阶矩策略.稳健性检验佐证了上述结论.

Research on the integrated high-order moment portfolio strategy from time-frequency domain perspective

In view of the deficiency of previous researches, this paper draws on the idea of decomposition-integration and combines the maximal overlapping discrete wavelet transform method with the high-order moment portfolio framework based on the time-frequency domain perspective to construct a wavelet-integrated higher-order moment portfolio model. Since the wavelet functions are various with different properties, this paper proposes the idea of decomposition-mixing-integration and constructs a hybrid wavelet-integrated higher-order moment portfolio model. Based on data of stock, crude oil and gold markets, this paper adopts the constructed model to build portfolios, and conducts out-of-sample testing and analysis on them, after which stability testing was carried out. The empirical results show that, first, compared with the control group, the wavelet-integrated high-order moment strategy achieves a significantly better investment effect, bringing higher returns, Sharpe ratio and utility level to investors. Second, by combining the advantages of many wavelet functions, the hybrid wavelet-integrated high-order moment strategy achieves better effects and significantly optimizes the wavelet-integrated high-order moment strategy. The stability test verifies the above conclusions.