计算机与现代化 ›› 2020, Vol. 0 ›› Issue (07): 11-15.doi: 10.3969/j.issn.1006-2475.2020.07.003

• 算法设计与分析 • 上一篇    下一篇

马科维茨均值-方差理论在能源期货投资组合优化中的运用

  

  1. (湖南师范大学商学院,湖南长沙410012)
  • 出版日期:2020-07-06 发布日期:2020-07-15
  • 作者简介:王一凡(2000-),男,江西南昌人,本科生,研究方向:投资组合,E-mail: 1012761299@qq.com。
  • 基金资助:
    国家社会科学基金资助项目(2013XGJ011); 江西省高校人文社科基金资助项目(JJ19216)

Application of Markowitz Mean-variance Theory in Portfolio Optimization of Energy Futures

  1. (Business School, Hunan Normal University, Changsha 410012, China)
  • Online:2020-07-06 Published:2020-07-15

摘要: 本文以个人投资者的视角,探索能源期货投资策略。以马科维茨均值-方差理论为依据,以4种能源期货为标的资产,运用MATLAB软件进行计算,构造了区间为第n日至n+252日的动态最佳投资比率策略,以第n+1日至n+253日作为检验区间,并对构造区间、检验区间滚动k次,验证了该投资比率策略的有效性及动态策略的平稳性。投资策略的有效性表明,它是投资者进行能源期货投资的一种可行思路。同时,也验证了马科维茨均值-方差理论可运用于数量较少的能源期货投资组合中。

关键词: 马科维茨均值-方差模型, 能源期货, 投资组合

Abstract: This paper explores the investment strategy of energy futures from the perspective of individual investors. Based on Markowitz mean-variance model and 4 kinds of energy futures, this paper uses MATLAB software to calculate, constructs the dynamic optimal investment ratio strategy from the nth day to the nth+252nd day, and takes the nth + 1st day and the nth+253rd day as the test interval, and tests the interval rolling k times to prove the effectiveness of the investment ratio strategy and the stability of the dynamic strategy. The effectiveness of capital strategy proves that it is a feasible way for investors to invest in energy futures. At the same time, it is proved that Markowitz mean-variance theory can be applied to a small number of energy futures portfolio.

Key words: Markowitz mean-variance model, energy futures, investment portfolio

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