【摘要】 利用贝叶斯模型平均法提高预测准确性,并在权重设计中考虑预测准确性,以改进积极资产组合决策模型。在中国市场条件下对决策模型进行检验,结果显示:基于该模型构造的积极组合在任何市场条件下都能够获得超越基准组合的收益;在决策模型中考虑超额收益预测准确性是必要的,提高超额收益预测的准确性有利于提高组合超额收益,同时降低组合积极风险;在允许卖空的市场条件下决策模型依然成立,组合超额收益水平未发生显著变化,但积极风险加大。在考虑交易成本的情况下,超额收益仍然存在。更多还原

【Abstract】 This paper takes the accuracy of predictability of excess return into consideration to optimize the portfolio decision model.By using Bayesian Model Averaging,the accuracy of predictability of excess return is improved.The model is verified by the data from the stock market in China.The results indicate that:(i) the active portfolio structured by this decision model outperforms the benchmark portfolio;(ii) it is necessary to include the accuracy of predictability of the excess return in the decision model which enhances the return-risk profile;(iii) the model works in the market with short selling with the same excess return level and more active risk.The excess return still exists when transaction cost is under consideration.更多还原