基于航运指数追踪的股票投资组合优化

摘要

为降低航运市场投资门槛并提供低成本、高效益、低风险的投资策略,运用优化复制的方法,从“沪深300”中选取部分与航运板块相关的股票建立投资组合,追踪航运股票综合指数和波罗的海指数.实证结果表明,优化后的投资组合具有较理想的追踪效果.该研究提出建立航运股票综合指数来反映全球航运资本市场的表现,根据不同投资者风险厌恶程度与投资组合容量对追踪效果的影响设计不同投资方案进行对比.%In order to lower the investment threshold of maritime market and offer a lower cost,better return and less risk investment strategy,the study applies the optimal copy strategy to select several relative maritime stocks from Hushen 300 market to form a investment portfolio to track the maritime stock comprehensive index and Baltic Dry Index.The empirical result shows that the optimized portfolio is of the good tracking effect.The maritime stock comprehensive index is built to reflect the change of shipping market.For investors with different risk preference and the number of stocks several stock portfolios are proposed and the tracking performances of each portfolio is analyzed.