| The stock market of China is an important channel for Chinese residents to make financial investments,it has become an important part of the socialist market economy.However,irrational investment behaviors such as chasing gains and losses are still widespread.The correct investment ideas and scientific investment methods are the basis for protecting the fundamental interests of investors in the stock market.Therefore,this article launches a research on investment strategies that can disperse non-systematic risks and avoid systemic risks.It establishes a risk control system of stock investment based on the relative price of stocks.It is determined that the risk of stock investment is the sum of the risk of the broad market index and the relative price of each stock.Therefore,this article firstly constructs the optimal investment portfolio model from the perspective of the spot and futures markets.Then implement reasonable investment methods and strategies in the futures market.Finally,investing in the spot market and the futures market respectively,and conducting empirical simulation research to obtain the maximum return within a certain range of risk control.In the study of the portfolio of the spot market,firstly,this article discusses the time series modeling method.The time series modeling of the relative price-return ratio of HS300 sample stocks is obtained.Based on the modeling results,we know that the AR,ARMA,and GARCH?1,1?models and the relative price-return series are well-fitted.Secondly,under the assumption that the relative price logarithm obeys the normal distribution and stable process,the Va RS and gamma stock selection indicators under the relative price condition are obtained.Based on the institutional constraints of the stock allocation,an—(1(6portfolio model is constructed,and the positions are adjusted once a month The actual simulation shows that the model's portfolio yield can significantly outperform the market.When researching the futures market,firstly,this article studies the bull market and bear market transition point of the broad market index.Based on the broad market bull and bear discrimination model constructed by Yao Fang scholars,the model index and parameters were improved to obtain a new broad market.The bull and bear discriminant model is applied to the investment portfolio,that is,hedging during the bear market during the whole process,and establishing a GARCH model of the high-frequency data of the HS300 stock index futures IF1803 and IF1801 every five minutes during the non-bear market period through the spread sequence.The risk of the arbitrage model is calculated according to the price condition Va R method,and the failure rate index is introduced to judge the effectiveness of the arbitrage mode l construction,which finally shows that the model risk control is more reasonable.According to the actual stock market situation,it is known that the whole year of2018 was almost in a bear market period.As a result,an empirical simulation study of the investment strategy for the whole year of 2018 is performed.According to the results of the bullish-bearish discrimination study in the broader market,an investment portfolio model is constructed from the first trading day in the spot market.In the bull market,positions are adjusted infrequently.After the bull market ends,positions are frequently adjusted in half-month cycles.In the futures market,the arbitrage operation is carried out according to the best arbitrage point model in a bull market,and short-selling HS 300 futures contracts in a bear market hedge the spot portfolio.The institutionalization of large-scale asset allocation is used as a constraint mechanism for risk management,and the asset allocation ratio between the spot market and the futures market is strictly controlled between 1:0.15 and 1:0.25.The investment strategy can obtain the best cumulative return rate,which can not only effectively control Risk,avoiding irrational investment by the institution,but also obtaining more considerable benefits. |
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