因子分析-Shrinkage法在投资组合中的理论分 析及应用.pdfVIP

Hans Journal of Data Mining 数据挖掘, 2015, 5, 46-54 Published Online July 2015 in Hans. /journal/hjdm /10.12677/hjdm.2015.53007 Theoretical Analysis and Application on Factor Analysis-Shrinkage Method to Portfolio Huina Zhang, Yumei Li* Department of Mathematics, School of Science, Beijing Technology and Business University, Beijing * Email: zh_huina@126.com, liwjyumei@163.com rd rd th Received: Jul.3 , 2015; accepted: Jul. 23 , 2015; published: Jul. 30 , 2015 Copyright © 2015 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract In the portfolio with no short sales, investors usually want to get the optimal portfolio model in order to achieve maximum benefits and minimum risk. In this paper, we research the Markowitz model and the combination model of resampling and Markowitz model. However, due to the dis- tribution of investment targets is not clear, the resampling method may overestimate the distri- bution of population. Then the application of shrinkage method has improved the variance of es- timation. Based on shrinkage method and factor analysis, factor analysis-shrinkage method is proposed to further optimize the estimation. Experimental results using the real data of stocks and R software verify the analysis factor-shrinkage method. Keywords Portfolio, Markowitz Model, Shrinkage Method, Factor Analysis-Shrinkage Method, R Software 因子分析-Shrinkage法在投资组合中的理论分 析及应用 张慧娜，李裕梅* 北京工商大学理学院数学系，北京 * Email: zh_huina@126.com, liwjyumei@163.com *通讯作者。