摘要
本文以个人投资者的视角,探索能源期货投资策略。以马科维茨均值-方差理论为依据,以4种能源期货为标的资产,运用MATLAB软件进行计算,构造了区间为第n日至n+252日的动态最佳投资比率策略,以第n+1日至n+253日作为检验区间,并对构造区间、检验区间滚动k次,验证了该投资比率策略的有效性及动态策略的平稳性。投资策略的有效性表明,它是投资者进行能源期货投资的一种可行思路。同时,也验证了马科维茨均值-方差理论可运用于数量较少的能源期货投资组合中。
This paper explores the investment strategy of energy futures from the perspective of individual investors.Based on Markowitz mean-variance model and 4 kinds of energy futures,this paper uses MATLAB software to calculate,constructs the dynamic optimal investment ratio strategy from the nth day to the nth+252nd day,and takes the nth+1st day and the nth+253rd day as the test interval,and tests the interval rolling k times to prove the effectiveness of the investment ratio strategy and the stability of the dynamic strategy.The effectiveness of capital strategy proves that it is a feasible way for investors to invest in energy futures.At the same time,it is proved that Markowitz mean-variance theory can be applied to a small number of energy futures portfolio.
作者
王一凡
WANG Yi-fan(Business School, Hunan Normal University, Changsha 410012, China)
出处
《计算机与现代化》
2020年第7期11-15,共5页
Computer and Modernization
基金
国家社会科学基金资助项目(2013XGJ011)
江西省高校人文社科基金资助项目(JJ19216)。
