基于分类共识的基金团队投资组合决策

Portfolio Decision of Fund Team Based on Classification Consensus

摘要: 投资组合问题是基金行业研究的热点，且团队投资模式因能有效降低极端风险而成为近年来基金投资的主流方向。然而，现有投资组合研究大多基于经典的收益–风险模型，对于基金团队这种群体投资模式可能并不完全适用。据此，本文从群体分类共识视角出发，研究基金团队投资组合问题，构建基于分类共识的基金团队投资组合决策框架，通过识别共识度较低成员并提供反馈调整建议来获得基金团队各成员达成共识的股票分类结果，最后使用最大收益模型确定各个股票的占比，并通过案例计算与分析验证所提方法的有效性。

Abstract: Portfolio problem is the focus of fund industry research, and team investment model has become the mainstream direction of fund investment in recent years because it can effectively reduce extreme risk. However, most of the existing portfolio studies are based on the classical return-risk model, which may not be fully applicable to the group investment model of fund teams. Based on this, from the perspective of group classification consensus, this paper studies the portfolio problem of fund team, and constructs a portfolio decision framework of fund team based on classification consensus. By identifying the members with low degree of consensus and providing feedback adjustment suggestions, the stock classification results reached by the members of the fund team are obtained. Finally, the maximum return model is used to determine the proportion of each stock. The effectiveness of the proposed method is verified by case calculation and analysis.