摘要
针对风险证券收益率的经验分布所具有的偏态和过度峰态等非正态分布特征,提出在非正态稳定分布条件下研究投资组合模型.通过拟合优度检验发现我国的股票收益率与非正态稳定分布的拟合效果非常好;研究了非正态稳定分布条件下投资组合收益和风险的度量,建立了均值-尺度参数投资组合模型;通过实证分析发现均值-尺度参数模型能够解释资产配置之谜.
Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis, this article puts forward studying portfolio selection model conditional on non-normal stable distributions. We find that fitness of returns on stocks to non-normal stable distributions in China stock market is very good by fitness test; study measurements of return and risk of a portfolio conditional on non-normal stable distributions and put forward mean-scale parameter model; find that mean-scale parameter model can explain asset allocation puzzle by empirical analysis.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第9期1-9,共9页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70440003)
关键词
非正态稳定分布
投资组合模型
均值-尺度参数模型
资产配置之谜
non-normal stable distribution
portfolio selection model
mean-scale parameter model
asset allocation puzzle
