# American Institute of Mathematical Sciences

doi: 10.3934/jimo.2019054

## Two nonparametric approaches to mean absolute deviation portfolio selection model

 1 College of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China 2 Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha 410114, China 3 Department of finance, College of business, Central South University, Hunan, 410083, China

* Corresponding author: wfh@amss.ac.cn

Received  June 2018 Revised  December 2018 Published  May 2019

In this paper, we apply two nonparametric approaches to mean absolute deviation (MAD) portfolio selection model. The first one is to use the nonparametric kernel mean estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel mean estimation-based MAD portfolio model. The second one is to utilize the nonparametric kernel median estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel median estimation-based MAD portfolio model. We also extend the two kinds of nonparametric approach to mean-Conditional Value-at-Risk portfolio model. Finally, we give the in-sample and out-of-sample analysis of the proposed strategies and compare the performance of the proposed models by using actual stock returns in Shanghai stock exchange of China. The experimental results show the nonparametric estimation-based portfolio models are more efficient than the original portfolio model.

Citation: Zhifeng Dai, Huan Zhu, Fenghua Wen. Two nonparametric approaches to mean absolute deviation portfolio selection model. Journal of Industrial & Management Optimization, doi: 10.3934/jimo.2019054
##### References:
 [1] R. Alemany, C. Bolancé and M. Guillén, A nonparametric approach to calculating value-at-risk, Insurance Math. Econ., 52 (2013), 255-262. doi: 10.1016/j.insmatheco.2012.12.008. [2] G. Athayde, Building a Mean-Downside Risk Portfolio Frontier, Developments in Forecast Combination and Portfolio Choice, John Wiley and Sons. 2001. [3] G. Athayde, The Mean-downside Risk Portfolio Frontier: A Non-parametric Approach, Published in Advances in portfolio construction and implementation. 2003. [4] A. Berlinet, B. Cadre and A. Gannoun, On the conditional $L_1$ -median and its estimation, J. Nonparametr. Stat., 13 (2001a), 631-645. doi: 10.1080/10485250108832869. [5] A. Berlinet, A. Gannoun and E. Matzner, Asymptotic normality of convergent estimates of conditional quantiles, Stats., 35 (2001b), 139-169. doi: 10.1080/02331880108802728. [6] N. Bingham, R. Kiesel and R. Schmidt, A semi-parametric approach to risk management, Quant. Financ., 3 (2003), 426-441. doi: 10.1088/1469-7688/3/6/302. [7] Z. Cai and X. Wang, Nonparametric estimation of conditional VaR and expected shortfall, J. Econom., 147 (2008), 120-130. doi: 10.1016/j.jeconom.2008.09.005. [8] S. Chen and C. Y. Tang, Nonparametric inference of value-atrisk for dependent financial returns, J. Financ. Econ., 3 (2005), 227-255. [9] S. Chen, Nonparametric estimation of expected shortfall, J. Financ. Econ., 6 (2008), 87-107. doi: 10.1093/jjfinec/nbm019. [10] L. Chiodi, R. Mansini and M. G. Speranza, Semi-absolute deviation rule for mutual funds portfolio selection, Ann. Oper. Res., 124 (2003), 245-265. doi: 10.1023/B:ANOR.0000004772.15447.5a. [11] T. E. Conine and and M. J. Tamarkin, On diversiffication given asymmetry in returns, J. Financ., 36 (1981), 1143-1155. [12] Z. Dai and F. Wen, Some improved sparse and stable portfolio optimization problems, Finan. Res. Lett., 27 (2018), 46-52. doi: 10.1016/j.frl.2018.02.026. [13] Z. Dai and F. Wen, A generalized approach to sparse and stable portfolio optimization problem, J. Ind. Manag. Optim., 14 (2018), 1651-1666. [14] Z. Dai and F. Wang, Sparse and robust mean-variance portfolio optimization problems., Physica A, 2019, accepted. [15] A. Gannoun, J. Saracco and K. Yu, Nonparametric time series prediction by conditional median and quantiles, J. stat. Plan. inferenc., 117 (2003), 207-223. doi: 10.1016/S0378-3758(02)00384-1. [16] J. G. Gooijer and A. Gannoun, Tr multivariate conditional median estimation, Commun. Stat. Simul. C., 36 (2007), 165-176. doi: 10.1080/03610910601096270. [17] B. E. Hansen, Bandwidth selection for nonparametric distribution estimation., Working Paper, 2004. [18] Z. He, L. He and F. Wen, Risk compensation and market returns: The role of investor sentiment in the stock market, Emerg. Mark. Financ. Tr., 55 (2019), 704-718. [19] C. Huang, Z. Yang, T. Yi and X. Zou, On the basins of attraction for a class of delay differential equations with non-monotone bistable nonlinearities, J. Differential Equations, 256 (2014), 2101-2114. doi: 10.1016/j.jde.2013.12.015. [20] S. O. Jeong and K. H. Kang, Nonparametric estimation of valueat-risk, J. Appl. Stat., 36 (2009), 1225-1238. doi: 10.1080/02664760802607517. [21] P. Jorion, Value at Risk: The New Benchmark for controlling Derivatives Risk, New York: McGraw-Hill. 1997. [22] H. Kellerer, R. Mansini and M. G. Speranza, Selecting portfolios with fixed costs and minimum transaction lots, Ann. Oper. Res., 99 (2000), 287-304. doi: 10.1023/A:1019279918596. [23] R. Koenker, Quantile Regression, Cambridge Books, Cambridge University Press, Issue. 38, 2005. doi: 10.1017/CBO9780511754098. [24] H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Manage. Sci., 37 (1991), 501-623. doi: 10.1287/mnsc.37.5.519. [25] Q. Li and J. S. Racine, Nonparametric Econometrics: Theory and Practice, Princeton University Press, 2007. [26] R. Mansini, W. Ogryczak and M. G. Speranza, LP solvable models for portfolio optimization: A classification and computational comparison, IMA J. Manag. Math., 14 (2003), 187-220. doi: 10.1093/imaman/14.3.187. [27] H. Markowitz, Portfolio Selection, J. Financ., 7 (1952), 77-91. [28] A. R. Pagan and A. Ullah, Nonparametric Econometrics, Cambridge University Press. 1999. doi: 10.1017/CBO9780511612503. [29] C. Papahristodoulou and E. Dotzauer, Optimal portfolios using linear programming models, J. Oper. Res. Soc., 55 (2004), 1169-1177. doi: 10.1057/palgrave.jors.2601765. [30] J. S. Pang, A new efficient algorithm for a class of portfolio selection problems, Oper. Res., 28 (1980), 754-767. doi: 10.1287/opre.28.3.754. [31] A. Perold, Large scale portfolio selections, Manage. Sci., 30 (1984), 1143-1160. doi: 10.1287/mnsc.30.10.1143. [32] T. Rockfeller and S. Uryasev, Optimization of conditional value-at-risk, J. Risk., 2 (2000), 21-34. doi: 10.21314/JOR.2000.038. [33] H. B. Salah, M. Chaouch, A. Gannoun, C. D. Peretti and A. Trabelsi, Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Ann. Oper. Res., 262 (2018), 653-681. doi: 10.1007/s10479-016-2235-z. [34] O. Scaillet, Nonparametric estimation and sensitivity analysis of expected shortfall, Math. Financ., 14 (2004), 115-129. doi: 10.1111/j.0960-1627.2004.00184.x. [35] W. F. Sharpe, Capital asset prices: A theory of market equilibrium under conditions of risk, J. Financ., 19 (1964), 425-442. [36] P. Shen, Median regression model with left truncated and right censored data, J. Stat. Plan. Infer., 142 (2012), 1757-1766. doi: 10.1016/j.jspi.2012.02.014. [37] B. W. Silverman, Density Estimation for Statistics and Data Analysis, Chapman and Hall, New York. 1986. doi: 10.1007/978-1-4899-3324-9. [38] J. Schaumburg, Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory, Comput. Stat. Data Anal., 56 (2012), 4081-4096. doi: 10.1016/j.csda.2012.03.016. [39] S. Subramanian, Median regression using nonparametric kernel estimation, J. Nonparametr. Stat., 14 (2002), 583-605. doi: 10.1080/10485250213907. [40] S. Subramanian, Median regression analysis from data with left and right censored observations, Stat. Methodol., 4 (2007), 121-131. doi: 10.1016/j.stamet.2006.03.001. [41] M. G. Speranza, Linear programming models for portfolio optimization, Finance., 14 (1993), 107-123. [42] M. G. Speranza, A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Comput. Oper. Res., 23 (1996), 433-441. doi: 10.1016/0305-0548(95)00030-5. [43] F. Wen, J. Xiao, C. Huang and X. Xia, Interaction between oil and US dollar exchange rate: Nonlinear causality, time-varying influence and structural breaks in volatility, Appl. Econ., 50 (2018), 319-334. doi: 10.1080/00036846.2017.1321838. [44] F. Wen, F. Min and Y. J. Zhang et al., Crude oil price shocks, monetary policy, and China's economy, Int. J. Financ. Econ., (2018) online. doi: 10.1002/ijfe.1692. [45] F. Wen, X. Yang and W. Zhou, Tail dependence networks of global stock markets, Int. J. Financ. Econ., 24 (2019), 558-567. doi: 10.1002/ijfe.1679. [46] F. Wen, J. Xiao and X. Xia et al., Oil prices and chinese stock market: Nonlinear causality and volatility persistence, Emerg. Mark. Financ. Tr., 55 (2019), 1247-1263. doi: 10.1080/1540496X.2018.1496078. [47] J. Xiao, M. Zhou and F. Wen et al., Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index, Energ. Econ., 74 (2018), 777-786. doi: 10.1016/j.eneco.2018.07.026. [48] H. Yao, Z. Li and Y. Lai, Mean-CVaR portfolio selection: A nonparametric estimation framework, Comput. Oper. Res., 40 (2013), 1014-1022. doi: 10.1016/j.cor.2012.11.007. [49] H. Yao, Y. Li and K. Benson, A smooth non-parametric estimation framework for safety-first portfolio optimization, Quant. Financ., 15 (2015), 1865-1884. doi: 10.1080/14697688.2014.971857. [50] K. Yu, A. Allay, S. Yang and D. J. Hand, Kernel quantile based estimation of expected shortfall, J. Risk., 12 (2010), 15-32. [51] G. Yuan, Z. H. Meng and Y. Li, A modified Hestenes and Stiefel conjugate gradient algorithm for large-scale nonsmooth minimizations and nonlinear equations, J. Optim. Theory. Appl., 168 (2016), 129-152. [52] G. Zhao and Y. Y. Ma, Robust nonparametric kernel regression estimator, Stat. Probabil. Lett., 116 (2016), 72-79. doi: 10.1016/j.spl.2016.04.010. [53] Y. Zhao and F. Chen, Empirical likelihood inference for censored median regression model via nonparametric kernel estimation, J. Multivariate Anal., 99 (2008), 215-231. doi: 10.1016/j.jmva.2007.05.002. [54] Y. Zhao and H. Cui, Empirical likelihood for median regression model with designed censoring variables, J. Multivariate Anal., 101 (2010), 240-251. doi: 10.1016/j.jmva.2009.07.008.

show all references

##### References:
 [1] R. Alemany, C. Bolancé and M. Guillén, A nonparametric approach to calculating value-at-risk, Insurance Math. Econ., 52 (2013), 255-262. doi: 10.1016/j.insmatheco.2012.12.008. [2] G. Athayde, Building a Mean-Downside Risk Portfolio Frontier, Developments in Forecast Combination and Portfolio Choice, John Wiley and Sons. 2001. [3] G. Athayde, The Mean-downside Risk Portfolio Frontier: A Non-parametric Approach, Published in Advances in portfolio construction and implementation. 2003. [4] A. Berlinet, B. Cadre and A. Gannoun, On the conditional $L_1$ -median and its estimation, J. Nonparametr. Stat., 13 (2001a), 631-645. doi: 10.1080/10485250108832869. [5] A. Berlinet, A. Gannoun and E. Matzner, Asymptotic normality of convergent estimates of conditional quantiles, Stats., 35 (2001b), 139-169. doi: 10.1080/02331880108802728. [6] N. Bingham, R. Kiesel and R. Schmidt, A semi-parametric approach to risk management, Quant. Financ., 3 (2003), 426-441. doi: 10.1088/1469-7688/3/6/302. [7] Z. Cai and X. Wang, Nonparametric estimation of conditional VaR and expected shortfall, J. Econom., 147 (2008), 120-130. doi: 10.1016/j.jeconom.2008.09.005. [8] S. Chen and C. Y. Tang, Nonparametric inference of value-atrisk for dependent financial returns, J. Financ. Econ., 3 (2005), 227-255. [9] S. Chen, Nonparametric estimation of expected shortfall, J. Financ. Econ., 6 (2008), 87-107. doi: 10.1093/jjfinec/nbm019. [10] L. Chiodi, R. Mansini and M. G. Speranza, Semi-absolute deviation rule for mutual funds portfolio selection, Ann. Oper. Res., 124 (2003), 245-265. doi: 10.1023/B:ANOR.0000004772.15447.5a. [11] T. E. Conine and and M. J. Tamarkin, On diversiffication given asymmetry in returns, J. Financ., 36 (1981), 1143-1155. [12] Z. Dai and F. Wen, Some improved sparse and stable portfolio optimization problems, Finan. Res. Lett., 27 (2018), 46-52. doi: 10.1016/j.frl.2018.02.026. [13] Z. Dai and F. Wen, A generalized approach to sparse and stable portfolio optimization problem, J. Ind. Manag. Optim., 14 (2018), 1651-1666. [14] Z. Dai and F. Wang, Sparse and robust mean-variance portfolio optimization problems., Physica A, 2019, accepted. [15] A. Gannoun, J. Saracco and K. Yu, Nonparametric time series prediction by conditional median and quantiles, J. stat. Plan. inferenc., 117 (2003), 207-223. doi: 10.1016/S0378-3758(02)00384-1. [16] J. G. Gooijer and A. Gannoun, Tr multivariate conditional median estimation, Commun. Stat. Simul. C., 36 (2007), 165-176. doi: 10.1080/03610910601096270. [17] B. E. Hansen, Bandwidth selection for nonparametric distribution estimation., Working Paper, 2004. [18] Z. He, L. He and F. Wen, Risk compensation and market returns: The role of investor sentiment in the stock market, Emerg. Mark. Financ. Tr., 55 (2019), 704-718. [19] C. Huang, Z. Yang, T. Yi and X. Zou, On the basins of attraction for a class of delay differential equations with non-monotone bistable nonlinearities, J. Differential Equations, 256 (2014), 2101-2114. doi: 10.1016/j.jde.2013.12.015. [20] S. O. Jeong and K. H. Kang, Nonparametric estimation of valueat-risk, J. Appl. Stat., 36 (2009), 1225-1238. doi: 10.1080/02664760802607517. [21] P. Jorion, Value at Risk: The New Benchmark for controlling Derivatives Risk, New York: McGraw-Hill. 1997. [22] H. Kellerer, R. Mansini and M. G. Speranza, Selecting portfolios with fixed costs and minimum transaction lots, Ann. Oper. Res., 99 (2000), 287-304. doi: 10.1023/A:1019279918596. [23] R. Koenker, Quantile Regression, Cambridge Books, Cambridge University Press, Issue. 38, 2005. doi: 10.1017/CBO9780511754098. [24] H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Manage. Sci., 37 (1991), 501-623. doi: 10.1287/mnsc.37.5.519. [25] Q. Li and J. S. Racine, Nonparametric Econometrics: Theory and Practice, Princeton University Press, 2007. [26] R. Mansini, W. Ogryczak and M. G. Speranza, LP solvable models for portfolio optimization: A classification and computational comparison, IMA J. Manag. Math., 14 (2003), 187-220. doi: 10.1093/imaman/14.3.187. [27] H. Markowitz, Portfolio Selection, J. Financ., 7 (1952), 77-91. [28] A. R. Pagan and A. Ullah, Nonparametric Econometrics, Cambridge University Press. 1999. doi: 10.1017/CBO9780511612503. [29] C. Papahristodoulou and E. Dotzauer, Optimal portfolios using linear programming models, J. Oper. Res. Soc., 55 (2004), 1169-1177. doi: 10.1057/palgrave.jors.2601765. [30] J. S. Pang, A new efficient algorithm for a class of portfolio selection problems, Oper. Res., 28 (1980), 754-767. doi: 10.1287/opre.28.3.754. [31] A. Perold, Large scale portfolio selections, Manage. Sci., 30 (1984), 1143-1160. doi: 10.1287/mnsc.30.10.1143. [32] T. Rockfeller and S. Uryasev, Optimization of conditional value-at-risk, J. Risk., 2 (2000), 21-34. doi: 10.21314/JOR.2000.038. [33] H. B. Salah, M. Chaouch, A. Gannoun, C. D. Peretti and A. Trabelsi, Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Ann. Oper. Res., 262 (2018), 653-681. doi: 10.1007/s10479-016-2235-z. [34] O. Scaillet, Nonparametric estimation and sensitivity analysis of expected shortfall, Math. Financ., 14 (2004), 115-129. doi: 10.1111/j.0960-1627.2004.00184.x. [35] W. F. Sharpe, Capital asset prices: A theory of market equilibrium under conditions of risk, J. Financ., 19 (1964), 425-442. [36] P. Shen, Median regression model with left truncated and right censored data, J. Stat. Plan. Infer., 142 (2012), 1757-1766. doi: 10.1016/j.jspi.2012.02.014. [37] B. W. Silverman, Density Estimation for Statistics and Data Analysis, Chapman and Hall, New York. 1986. doi: 10.1007/978-1-4899-3324-9. [38] J. Schaumburg, Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory, Comput. Stat. Data Anal., 56 (2012), 4081-4096. doi: 10.1016/j.csda.2012.03.016. [39] S. Subramanian, Median regression using nonparametric kernel estimation, J. Nonparametr. Stat., 14 (2002), 583-605. doi: 10.1080/10485250213907. [40] S. Subramanian, Median regression analysis from data with left and right censored observations, Stat. Methodol., 4 (2007), 121-131. doi: 10.1016/j.stamet.2006.03.001. [41] M. G. Speranza, Linear programming models for portfolio optimization, Finance., 14 (1993), 107-123. [42] M. G. Speranza, A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Comput. Oper. Res., 23 (1996), 433-441. doi: 10.1016/0305-0548(95)00030-5. [43] F. Wen, J. Xiao, C. Huang and X. Xia, Interaction between oil and US dollar exchange rate: Nonlinear causality, time-varying influence and structural breaks in volatility, Appl. Econ., 50 (2018), 319-334. doi: 10.1080/00036846.2017.1321838. [44] F. Wen, F. Min and Y. J. Zhang et al., Crude oil price shocks, monetary policy, and China's economy, Int. J. Financ. Econ., (2018) online. doi: 10.1002/ijfe.1692. [45] F. Wen, X. Yang and W. Zhou, Tail dependence networks of global stock markets, Int. J. Financ. Econ., 24 (2019), 558-567. doi: 10.1002/ijfe.1679. [46] F. Wen, J. Xiao and X. Xia et al., Oil prices and chinese stock market: Nonlinear causality and volatility persistence, Emerg. Mark. Financ. Tr., 55 (2019), 1247-1263. doi: 10.1080/1540496X.2018.1496078. [47] J. Xiao, M. Zhou and F. Wen et al., Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index, Energ. Econ., 74 (2018), 777-786. doi: 10.1016/j.eneco.2018.07.026. [48] H. Yao, Z. Li and Y. Lai, Mean-CVaR portfolio selection: A nonparametric estimation framework, Comput. Oper. Res., 40 (2013), 1014-1022. doi: 10.1016/j.cor.2012.11.007. [49] H. Yao, Y. Li and K. Benson, A smooth non-parametric estimation framework for safety-first portfolio optimization, Quant. Financ., 15 (2015), 1865-1884. doi: 10.1080/14697688.2014.971857. [50] K. Yu, A. Allay, S. Yang and D. J. Hand, Kernel quantile based estimation of expected shortfall, J. Risk., 12 (2010), 15-32. [51] G. Yuan, Z. H. Meng and Y. Li, A modified Hestenes and Stiefel conjugate gradient algorithm for large-scale nonsmooth minimizations and nonlinear equations, J. Optim. Theory. Appl., 168 (2016), 129-152. [52] G. Zhao and Y. Y. Ma, Robust nonparametric kernel regression estimator, Stat. Probabil. Lett., 116 (2016), 72-79. doi: 10.1016/j.spl.2016.04.010. [53] Y. Zhao and F. Chen, Empirical likelihood inference for censored median regression model via nonparametric kernel estimation, J. Multivariate Anal., 99 (2008), 215-231. doi: 10.1016/j.jmva.2007.05.002. [54] Y. Zhao and H. Cui, Empirical likelihood for median regression model with designed censoring variables, J. Multivariate Anal., 101 (2010), 240-251. doi: 10.1016/j.jmva.2009.07.008.
Comparision of efficient frontier of MAD portfolio models
Efficient frontier of the MAD model based on the kernel median estimation
Efficient frontier of the mean-CVaR portfolio models
Efficient frontier of MAD models of kernel mean estimation under different kernel functions
Efficient frontier of the mean-CVaR portfolio models of kernel mean estimation under different kernel functions
Efficient frontier of MAD models of kernel median estimation under different kernel functions
Efficient frontier of mean-CVaR models of kernel median estimation under different kernel functions
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of the MAD model
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of MAD model of kernel mean estimation
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of MAD of kernel median estimation
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of the mean-CVaR model
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of mean-CVaR model of kernel mean estimation
Comparison betwen the daily return of Shanghai Composite Index and portfolio return of mean-CVaR of kernel median estimation
Descriptive Statistics of daily return of 20 stocks from Shanghai A shares
 Stock nam Number Max Min Mean Sd. Skewness Kurtosis P.R.E. 600048 0.10038 -0.35544 0.00049 0.03308 -1.47313 22.2281 T.J.H. 600717 0.10025 -0.10029 0.00074 0.03040 -0.08191 5.4232 H.E. 600060 0.10035 -0.11024 0.00109 0.03355 -0.00870 5.15926 H.N.I. 600011 0.10050 -0.10036 0.00064 0.02654 -0.28255 7.6319 N.J.H.T. 600064 0.10028 -0.32864 0.00112 0.03146 -1.69324 20.8171 S.H.I. 600031 0.10066 -0.10042 0.00015 0.02843 -0.14598 6.8630 S.H.A. 600009 0.09996 -0.10007 0.00112 0.02464 -0.09756 7.3309 T.R.T. 600085 0.10022 -0.10016 0.00109 0.02834 -0.04908 6.7348 Ch.M.B. 600036 0.09571 -0.09914 0.00087 0.01999 0.44853 8.3975 Ch.S. 600150 0.10016 -0.10011 0.00101 0.03593 -0.04488 4.6552 Ch.U. 600050 0.10103 -0.10056 0.00096 0.02846 0.21470 6.7539 Sino. 600028 0.10035 -0.10040 0.00037 0.02138 -0.15015 8.9252 Ch.S. 600118 0.10027 -0.10009 0.00170 0.03683 -0.03555 4.7026 C.S. 600030 0.10043 -0.10012 0.00091 0.03038 0.23151 5.9787 C.S.M. 601098 0.10027 -0.10017 0.00120 0.02910 -0.14500 5.4879 Ch.L.I. 601628 0.10036 -0.10007 0.00095 0.02689 0.62490 6.7596 O.F.X. 600612 0.10010 -0.10006 0.00109 0.02811 0.29691 5.8163 C.Q.B. 600132 0.10027 -0.10699 0.00042 0.02841 -0.37571 6.9771 J.J.I. 600650 0.10037 -0.10018 0.00202 0.03929 0.20423 4.3077 Q.J.B. 600706 0.10028 -0.10024 0.00125 0.03459 -0.26875 4.7732
 Stock nam Number Max Min Mean Sd. Skewness Kurtosis P.R.E. 600048 0.10038 -0.35544 0.00049 0.03308 -1.47313 22.2281 T.J.H. 600717 0.10025 -0.10029 0.00074 0.03040 -0.08191 5.4232 H.E. 600060 0.10035 -0.11024 0.00109 0.03355 -0.00870 5.15926 H.N.I. 600011 0.10050 -0.10036 0.00064 0.02654 -0.28255 7.6319 N.J.H.T. 600064 0.10028 -0.32864 0.00112 0.03146 -1.69324 20.8171 S.H.I. 600031 0.10066 -0.10042 0.00015 0.02843 -0.14598 6.8630 S.H.A. 600009 0.09996 -0.10007 0.00112 0.02464 -0.09756 7.3309 T.R.T. 600085 0.10022 -0.10016 0.00109 0.02834 -0.04908 6.7348 Ch.M.B. 600036 0.09571 -0.09914 0.00087 0.01999 0.44853 8.3975 Ch.S. 600150 0.10016 -0.10011 0.00101 0.03593 -0.04488 4.6552 Ch.U. 600050 0.10103 -0.10056 0.00096 0.02846 0.21470 6.7539 Sino. 600028 0.10035 -0.10040 0.00037 0.02138 -0.15015 8.9252 Ch.S. 600118 0.10027 -0.10009 0.00170 0.03683 -0.03555 4.7026 C.S. 600030 0.10043 -0.10012 0.00091 0.03038 0.23151 5.9787 C.S.M. 601098 0.10027 -0.10017 0.00120 0.02910 -0.14500 5.4879 Ch.L.I. 601628 0.10036 -0.10007 0.00095 0.02689 0.62490 6.7596 O.F.X. 600612 0.10010 -0.10006 0.00109 0.02811 0.29691 5.8163 C.Q.B. 600132 0.10027 -0.10699 0.00042 0.02841 -0.37571 6.9771 J.J.I. 600650 0.10037 -0.10018 0.00202 0.03929 0.20423 4.3077 Q.J.B. 600706 0.10028 -0.10024 0.00125 0.03459 -0.26875 4.7732
Descriptive statistics of daily return of Shanghai Composite Index
 Max Min average sd Skewness Kurtosis Shanghai S-I-R 0.04310 -0.07045 -0.00016 0.01566 -1.37612 8.38382
 Max Min average sd Skewness Kurtosis Shanghai S-I-R 0.04310 -0.07045 -0.00016 0.01566 -1.37612 8.38382
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2017 Impact Factor: 0.994