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中文摘要：
为有效地揭示金融市场微观结构、反映和分散金融风险,基于最大重复离散小波变换对高频数据进行了多分辨分析,利用小波方差和小波协方差给出多分辨Beta系数的计算方法,讨论了高频金融资产不同时间尺度下的风险组成。针对收益与风险的多分辨特征,提出多分辨投资组合策略,改进了Markowitz的静态投资组合方法。实证研究表明,同一金融资产在不同时间尺度下的收益与风险存在多分辨特征;CAPM的表现也具有多分辨特征;而多分辨的投资组合策略则将不同时间尺度下的投资风险降到了最低。
英文摘要：
To reveal microstructure, find and disperse risk in financial market, we propose the method for multiresolution Betas estimation based on wavelet muhiresolution analysis which decomposes the variance of one time series and the covariance between two time series on a scale by scale basis through maximal overlap discrete wavelet transform. The composition of risk at different scales for high - frequency financial assets is discussed by this method. In accord- ance with character of multiresolution in return and risk, muhiresolution portfolio tactics are put forward, which better static portfolio method of Markowitz. Empirical results show that the proposed methods do not only capture character of multiresolntion, but also put investment risk at different scales down to minimum level.
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