摘 要
随着金融市场复杂性和波动性的加剧，量化投资策略逐渐成为资产管理领域的重要工具。然而，如何有效管理量化投资策略中的风险并科学评估其绩效，仍是学术界与实务界亟待解决的关键问题。本研究旨在探讨量化投资策略的风险管理框架及绩效评估方法，以期为投资者提供更具操作性的决策支持。研究基于多因子模型和机器学习算法，构建了一套动态风险预警体系，并引入了改进的Sharpe比率和信息比率作为绩效评价指标。通过对2015年至2022年间中国A股市场的实证分析，结果表明，动态风险管理能够显著降低策略回撤幅度，同时提升长期收益稳定性。此外，改进的绩效评估方法在捕捉非对称收益特征方面表现出更强的敏感性。
关键词：量化投资策略 风险管理 绩效评估
Abstract
With the increasing of complexity and volatility of financial market, quantitative investment strategies have gradually become an important tool in the field of asset management. However, how to effectively manage the risk in the quantitative investment strategy and scientifically evaluate its performance is still a key problem to be solved in the academic and practical circles. The purpose of this study is to explore the risk management fr amework and performance evaluation method of quantitative investment strategy, in order to provide more operational decision support for investors. Based on the multi-factor model and machine learning algorithm, a dynamic risk warning system is constructed, and the improved Sharpe ratio and information ratio are introduced as the performance evaluation index. Based on the empirical analysis of China's A-share market from 2015 to 2022, the results show that dynamic risk management can significantly reduce the range of strategic pullback, while improving the stability of long-term returns. Furthermore, improved performance evaluation methods show greater sensitivity in capturing asymmetric benefit features.
Keyword:Quantitative Investment Strategy Risk Management Performance Evaluation
目 录
1绪论 1
1.1量化投资策略的研究背景与意义 1
1.2国内外研究现状分析 1
1.3研究方法与技术路线 2
2量化投资策略的风险管理框架构建 2
2.1风险管理的核心概念界定 2
2.2常见量化投资风险类型分析 3
2.3风险度量方法的比较研究 3
2.4风险管理模型的设计与优化 4
2.5案例分析：风险管理实践 4
3量化投资策略的绩效评估体系研究 4
3.1绩效评估的基本理论与方法 5
3.2常用绩效指标的适用性分析 5
3.3动态绩效评估模型的构建 5
3.4绩效归因分析的实证研究 6
3.5绩效评估结果的应用价值 6
4量化投资策略的风险与绩效综合分析 7
4.1风险与绩效的关联性研究 7
4.2不同市场环境下的表现分析 7
4.3投资组合优化中的风险与绩效平衡 8
4.4实证研究：策略有效性验证 8
4.5研究局限与未来展望 9
结论 9
参考文献 10
致谢 11
