论文部分内容阅读
资金的净流入是投资者关注的重要信息,也是投资者选股考虑的主要因素。定单流是衡量资金净流入的主要指标,具有丰富的信息含量,蕴含着投资者的买卖信息。本文从投资者期望效用最大化角度,将定单流引入投资组合模型。通过定单流指标确定组合权重,构建定单流冲击下的证券投资最优组合模型。实证分析结果表明,根据定单流指标确定投资权重,能取得更好的投资收益。
The net inflow of funds is an important piece of information that investors are concerned about. It is also a major factor for investors to consider stock selection. Order flow is a measure of the net inflow of funds a major indicator of rich information content, contains the investor’s trading information. In this paper, the order flow is introduced into the portfolio model from the perspective of investors’ expected utility maximization. Order portfolio flow indicators to determine the portfolio weight to build the portfolio under the impact of securities investment optimal portfolio model. The results of empirical analysis show that according to the order flow indicators to determine the investment weight, can achieve better investment returns.