【作者】 张贺清； 吴伟伟； 王雪峰；

【Author】 ZHANG He-qing;WU Wei-wei;WANG Xue-feng;School of Management,Harbin Institute of Technology;

【机构】 哈尔滨工业大学管理学院；

【摘要】 本文构建了连续动态调整下恒定混合策略中无风险资产和风险资产的收益模型,对不同行情下的收益特征进行了研究,在理论分析的基础上提出了基本假设,并进行了仿真分析,在引入股息收入和利息收入因素后,发现在多头行情中,恒定混合策略的收益差于同等比例的买入持有策略和全部持有风险资产策略;在空头行情中,恒定混合策略收益差于同等比例的买入持有策略,但好于全部持有风险资产策略;在震荡行情中,恒定混合策略收益并不绝对优于其他两种策略。更多还原

【Abstract】 The revenue model of the constant mix strategy is constructed when the assets are rebalanced dynamically and the revenue of the constant mix strategy in different market is studied.After the theoretical analysis,the basic hypotheses are put forward and then the numerical examples are conducted.Finally,it can be found that after considering the dividend and interest income,in bull market,the revenue of the constant mix strategy is less than buy and hold on a fixed proportion strategy and holding all risky assets strategy;in bear market,the performance of the constant mix strategy is better than holding all risky assets strategy but worse than buy and hold on a fixed proportion strategy;and in shocking market,the constant mix strategy is not absolutely superior to the other two strategies.更多还原