基于中华120指数的股票投资组合策略

Equity Portfolio Strategy Based on the China 120 Index

摘要: 指数追踪主要是对某一指数的表现进行复制或跟踪，是一种流行的被动投资组合管理策略。随着中国股市的快速发展和不断成熟，各项制度正在趋于规范和完善，加之计算机技术的不断发展，股指种类逐步丰富，股指对于投资的作用显得更加重要，很多投资者开始根据某些指数来进行股票的选择。本文以中华120指数及其成分股为研究对象，采用R软件为计算工具，运用逐步回归模型、Lasso、岭回归、两步估计法通过C_p准则、CV准则的方法得到了两个样本股空间，最后在这两个样本股空间上对模型进行实证分析。数值实验表明基于Lasso的股票指数追踪模型具有较好的追踪误差及可解释性的优点。

Abstract: Index tracking is a popular passive portfolio management strategy that replicates or tracks the performance of a particular index. With the rapid development and continuous maturity of the Chinese stock market, various systems are becoming standardised and perfected; coupled with the continuous development of computer technology and the gradual enrichment of stock indices, the role of stock indices for investment has become more important and many investors have started to make stock selection based on certain indices. This paper takes the China 120 Index and its constituent stocks as the research object, uses R software as the calculation tool, uses stepwise regression model, Lasso, ridge regression, two-step estimation method through the C_p criterion, CV criterion and other methods to obtain two sample stock spaces, and finally carries out empirical analysis of the model on these two sample stock spaces. Numerical experiments show that the Lasso-based stock index tracking model has the advantages of better tracking error and interpretability.