基于产业链的投资组合策略研究-金融学专业论文.docxVIP

上海交通大学基于产业链的投资组合策略研究 上海交通大学 基于产业链的投资组合策略研究 关键词： 产业链，投资组合，夏普比率，随机占优 THE STUDY OF PORTFOLIO STRATEGY BASED ON THE INDUSTRY CHAIN ABSTRACT The traditional method of constructing a portfolio bases on the Markowitzs mean-variance theory and CAPM model. It uses the estimation of parameters such as expected return, variances and beta to construct the optimal portfolio. However, due to the presence of parameter estimation risk, the result of the portfolio is often unstable. In this paper, from the perspective of logical analysis and combined with the industry chain theory, we propose a portfolio strat