分层风险平价模型在中国A股市场的实证分析
An Empirical Analysis of the Layered Risk Parity Model in the Chinese A-Share Market
摘要: 本文研究了分层风险平价模型在中国A股市场个股投资中的有效性。研究选择了2329只个股作为基础数据池，使用2013年至2022年的数据进行指标计算和模型训练，并采用2023年的数据进行回测分析。通过实证分析，研究表明分层风险平价模型在风险控制方面相对于其他模型具有明显优势，且随着资产数量的增加，这一优势更加显著。此外，分层风险平价模型在收益表现上的相对劣势也有所改善。因此，对于希望降低投资组合风险的中国A股投资者而言，分层风险平价模型是一个明智的选择，尤其是在构建低回撤或低波动的投资组合时。分层风险平价模型不仅能够有效减少投资组合中的风险，还在大规模资产组合构建中表现出色。
Abstract: This paper studies the effectiveness of the layered risk parity model in individual stock investment in the Chinese A-share market. The study selected 2329 individual stocks as the basic data pool, used data from 2013 to 2022 for indicator calculation and model training, and conducted backtesting analysis using data from 2023. Through empirical analysis, the study shows that the layered risk parity model has a significant advantage over other models in risk control, and this advantage becomes more pronounced with the increase in the number of assets. Furthermore, the relative disadvantage of the layered risk parity model in return performance is also improved. Therefore, for Chinese A-share investors who wish to reduce portfolio risk, the layered risk parity model is a wise choice, especially when constructing portfolios with low drawdown or low volatility. The layered risk parity model not only effectively reduces portfolio risk but also performs well in large-scale portfolio construction.
文章引用：李星懿. 分层风险平价模型在中国A股市场的实证分析[J]. 可持续发展, 2025, 15(12): 310-321. https://doi.org/10.12677/sd.2025.1512360

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