| Markov模型下的融资融券投资策略研究 |
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| 引用本文： | 黄光辉,鲍俊颖,吉文超.Markov模型下的融资融券投资策略研究[J].河南师范大学学报(自然科学版),2013,41(3):10-14. |
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| 作者姓名： | 黄光辉 鲍俊颖 吉文超 |
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| 作者单位： | 重庆大学数学与统计学院,重庆,401331 |
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| 基金项目： | 国家自然科学基金，中央高校基本科研业务费项目基金 |
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| 摘 要： | 在逐日盯市制度下,构造了度量收益风险的PRNC指标,并在Markov模型下构造了递归计算方法,得到一个动态交易系统.采用上证180指数成份股中的104只股票进行实证研究,每只股票构造了500次交易,并测算了80个不同投资策略下的年化收益率,发现最低为19.57%,最高为40.06%.
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| 关 键 词： | 融资融券 Markov链 保证金 投资策略 |
Investment Strategies for Margin Loans Under a Markov Chain Model |
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| HUANG Guanghui
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BAO Junying
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JI Wenchao.Investment Strategies for Margin Loans Under a Markov Chain Model[J].Journal of Henan Normal University(Natural Science),2013,41(3):10-14. |
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| Authors: | HUANG Guanghui BAO Junying JI Wenchao |
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| Institution: | (College of Mathematics and Statistics,Chongqing University,Chongqing 401331,China) |
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| Abstract: | PRNC is proposed to measure risk of margin loans under the mark-to-market rules.And a recursive algorithm is proposed to calculate the value of PRNC under a Markov chain model.An active margin system is derived for margin loans,which is applied to 104 stocks listed in the SSE 180 index,where 500 loans for each stock are investigated.The average annual rates of returns are calculated for 80 different investment strategies,which are distributed from 19.57% to 40.06% in our empirical investigations. |
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| Keywords: | margin loans Markov chain collateral investment strategy |
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