价值与动量混合策略DEA多期限资产组合选择及效率评价

doi:10.16381/j.cnki.issn1003-207x.201.06.008

Abstract

Abstract: The methods of DEA are used to integrate effective value and momentum indicators in this paper. By such a integration, new asset portfolios are constructed. And using the expected return (ER) and risk-adjusted return (RAR) evaluates their efficiencies relative to traditional portfolios. The investigations for CSI 300 show that the portfolios consisting of high DEA performance stocks are significantly higher than CSI 300 portfolio. And their values of ER and RAR also exceed those portfolios from single value and winner strategies. Meantime, the hedge trade strategy, which simultaneously holds the long position of high DEA performance portfolios and the short position of low DEA performance portfolios,is designed to bring investors obviously excess returns over relatively long horizons.

Key words: multi investment horizons, DEA, value investment strategy, momentum investment strategy, portfolio performance

CLC Number:

F830.91

YANG Hong-lin, CUI Yan-chen, ZHA Yong, CHEN Shou. The Selection and Evaluation of Asset Portfolios Over Multi Horizons by DEA Combing Value and Momentum Strategies[J]. Chinese Journal of Management Science, 2015, 23(6): 57-64.

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The Selection and Evaluation of Asset Portfolios Over Multi Horizons by DEA Combing Value and Momentum Strategies

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