Stock Selection Strategy Based on Fractal and S-Type Utility and M-CVaR Optimal Asset Allocation
Taking the main components of the SSE 50 Index as the research ob-ject,this paper first constructs a comprehensive evaluation index of stock risk based on fractal and S-utility theory,which is the basis of selecting stocks for portfolio construction.Then,under the assumption that the return on financial assets obeys asymmetric Laplacian distribution,the CVaR value is adopted to measure the risk of portfolio,and then an M-CVaR optimal asset allocation model is constructed,which is transformed into a quadratic programming problem to solve.In the empirical analysis stage,the sliding window method is used to dynamically adjust the optimal allocation ratio of the best stock set with monthly,quarterly,semi-annual and one-year cycles respectively.The results show that some stock investment sets screened by fractal and S-type expected utility theory can obtain better investment returns than all stocks participating in the portfolio,and the asset allocation scheme with one-year adjustment cycle can obtain higher cumulative return and Sharpe ratio than other adjustment cycles.
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