基于(α, H)的投资策略的有效性：来自国际投资的证据

(α, H)-based investment strategy is a strategy to maximize expected portfolio return subject to a specified maximum probability α of failing to reach a pre-specified threshold return H. This paper investigates the effectiveness of the strategy through a simulation and an empirical analysis using the data of 26 country (region) market indexes. The simulation results show that, compared with equally weighted portfolio and minimum variance portfolio strategy, (α, H)-based strategy can help investors gain higher expected return and Sharpe ratio, and the empirical results confirm that of simulation, specifically, (α, H)-based strategy can bring higher expected return for investors, and it also can bring higher Sharpe ratio if no-short-selling constraints is imposed. However, the selection of the combination (α, H) has a significant impact on portfolio performance of the strategy.