基于高频夏普指数的组合证券投资模型

资产选择与最优组合权重的设置是构建投资组合的两个关键步骤,利用日内高频数据构建一个夏普指数序列来进行资产选择,同时考虑多种组合策略.以沪市A股市场数据进行样本外实证分析。结果表明,不论市场处于下行还是上行行情,基于高频夏普指数选股方法构建的组合都能得到较高的风险调整收益,并具有较小的风险,同时在最优风险组合下,能得到可观的超额收益.

Portfolio selection based on a new constructed Sharpe index using high frequency data

Both stock selection and optimal portfolio choice play crucial roles in setting portfolio. This paper proposed a new method for stock selection based on constructing a Sharpe index using intra-day high frequency data. Several portfolio strategies are considered too. An out-of-sample empirical analysis with respect to a sample of A shares listed on Shanghai stock exchange shows that the new stock selection method often offers higher risk-adjusted returns and lower levels of risk. Moreover, combined with optimal portfolio strategy, the new method can get considerable excess returns.