摘要
本研究基于六种投资策略的历史交易数据,通过线性规划与夏普比率最大化模型,探讨投资组合权重优化问题。研究采用期初资金、期末资金和交易天数计算年化收益率,结合历史波动率数据,以无风险利率1.41%为基准,通过数学模型求解最优权重配置。实证结果显示,夏普比率最大化方法能有效平衡风险与收益,为投资者提供理论参考。
Based on historical transaction data from six investment strategies,this study investigates the optimization of portfolio weights through a linear programming model aimed at maximizing the Sharpe ratio.The annualized return is calculated using the initial capital,ending capital,and the number of trading days,combined with historical volatility data and a risk-free rate of 1.41%as the benchmark.The optimal weight allocation is derived by solving the corresponding mathematical model.Empirical results demonstrate that the Sharpe ratio maximization approach effectively balances risk and return,offering theoretical insights for investors.
作者
欧梓莹
何晓韵
黎芸俊
OU Ziying;HE Xiaoyun;LI Yunjun(Guangdong Technology College,Zhaoqing 526040,China)
关键词
投资组合优化
线性规划
夏普比率
权重分配
风险调整收益
portfolio optimization
Sharpe ratio maximization
mathematical modeling
weight allocation
risk-adjusted return
