摘要
本文使用Kritzman(2011)提出的吸收比率理论对A股进行了风险规避实证研究,基于吸收比率定义了风险集中度变化量ΔRC,证明了ΔRC在对市场重大系统性风险的预测上效果更好。在此基础上围绕ΔRC构建了简单的资产组合配置策略用于历史回测,成功规避掉A股2011、2015及2018年的三次主要熊市,而策略在2007、2008年的失效揭示了市场的结构性改变可能导致风险承载能力改变,而使得预测指标失效。此外针对吸收比率定义的理论细节,本文也做了详细探讨,并提出了新的不依赖经验参数的定义方式。
This paper uses Kritzman’s Absorption Ratio Theory to conduct an empirical study on risk avoidance in China’s AShares market.Based on the absorption ratio,the risk centrality changeΔRC is defined,which is proved more effective in the prediction of major systemic risk.On this basis,a simple portfolio allocation strategy based onΔRC is proposed for back testing,which successfully avoid three bear markets in 2011,2015,2018,the failure of the strategy in 2007 and 2008 reveals that the structural change of the market may lead to the change of risk carrying capacity,which makes the prediction indicator invalid.In addition,the theoretical details of the definition of absorption ratio are discussed,and a new definition of absorption ratio is proposed which does not depend on empirical parameters.
出处
《投资研究》
CSSCI
北大核心
2021年第6期53-62,共10页
Review of Investment Studies
关键词
吸收比率
系统性风险
主成分分析
Absorption ratio
Systemic risk
Principal component analysis
