人工智能主题股票的投资风险分析——基于VaR和Copula模型视角

INVESTMENT RISK ANALYSIS FOR THE STOCK ABOUT ARTIFICIAL INTELLIGENCE: BASED ON VAR AND COPULA MODELS

陈凌鑫

11749006

硕士

金融

钱江

2019-05-27

2019-06-28

哈尔滨工业大学

深圳

股票市场是经济发展的晴雨表。时下人工智能兴起，相关人工智能产业发展迅速。在人工智能大热的趋势下，越来越多普通投资者希望投资于股票市场中与人工智能主题有关的上市公司股票，期望从中获得回报。普通投资者在二级市场参与投资人工智能主题股票，主要有两种方式：一是直接对相关股票进行买卖；二是通过买卖专注投资于人工智能主题股票的开放型基金。任何投资都有风险性，二级市场也不例外。为了分析人工智能股票的投资风险特征，本文选取2017年4月20日到2018年11月20日，共计393个股票交易日为样本时间段，以前海人工智能主题混合基金、华夏沪深300指数基金，以及融通人工智能指数基金和其投资组合持仓占比排名前10的人工智能主题个股作为研究对象，借助Matlab、Eviews和Excel等工具先通过描述统计的方法分析数据的分布特征等，再通过构建适当的VaR和Copula模型，对它们的投资收益风险和相关性进行定性和定量相结合的实证研究。本文基于VaR和Copula模型所进行的人工智能主题股票投资风险实证分析表明，人工智能主题股票投资风险排名为：个股>融通人工智能指数基金>前海开源人工智能混合基金>全市场指数基金——华夏沪深300指数基金。这也表明人工智能主题股票的公司特有风险和行业风险较高，投资者可以通过分散化和多样化投资，降低股票的特有风险和行业风险，降低它们之间的相关性。对于不同投资者，其风险承受能力不同，投资者需要根据自身的情况选择合适的投资工具，在控制一定风险的条件下，获得自己满意的收益。

The stock market is a barometer of economic development. With the rise of artificial intelligence, the related artificial intelligence industry has developed rapidly. As artificial intelligence becomes hot, stocks of related artificial intelligence companies attract more and more investors in the stock market. They want to get returns from these stocks.There are two ways to invest in stocks about AI theme, one is buying and selling stocks in the stocks market directly, the other is buy and sell funds which invest in stocks. As we know, any investment has risks, so do stocks. In order to analyze characteristics of investment risk about stocks of artificial intelligence, this paper selects sample time between April 20, 2017 and November 20, 2018, 393 trading days, with research objects: funds and stocks of artificial intelligence. This paper firstly takes advantage of Matlab, Eviews, Excel and other tools to analyze the distribution characteristics of data, then constructs models based on VaR and Copula to study the risk and correlation of their investment returns qualitatively and quantitatively.The empirical analysis of artificial intelligence theme stocks investment risk based on VaR and Copula models shows that the artificial intelligence theme stock investment risk ranking is: individual stocks > Rongtong artificial intelligence index fund > Qianhai Kaiyuan artificial intelligence hybrid fund > full market index fund - China Shanghai and Shenzhen 300 Index Fund. The results also indicate that those companies of artificial intelligence have their special company and industry risk. Investors can reduce the stocks’ unique risks and industry risks, by decentralized investment. Different investors have different risk tolerance. Investors need to choose the corresponding financial instruments to invest in artificial intelligence theme company, according to their risk tolerance. They should obtain their own satisfactory returns under the control risks.

人工智能主题股票 VaR Copula 风险 相关性

stocks of artificial intelligence VaR Copula risk correlation

中文

联合培养

南方科技大学

陈凌鑫. 人工智能主题股票的投资风险分析——基于VaR和Copula模型视角[D]. 深圳. 哈尔滨工业大学,2019.