本文選題：行業(yè)配置 + BL資產(chǎn)配置模型��； 參考：《首都經(jīng)濟貿(mào)易大學》2012年碩士論文

【摘要】：資產(chǎn)配置在金融投資領域中起著舉足輕重的作用，投資者通過資產(chǎn)配置,調(diào)節(jié)不同金融工具的投資比例，，進行投資組合管理。行業(yè)配置策略在證券投資基金的資產(chǎn)配置策略中發(fā)揮愈加重要的作用，合理而有效的行業(yè)配置策略對于投資者在增加投資收益同時降低并且分散投資風險起著極其重要的作用。 本文第一部分對我國基金市場的發(fā)展狀況進行簡要闡述，并分析行業(yè)配置在股票投資中的必要性。同時回顧了國內(nèi)外學者對Black-Litterman資產(chǎn)配置模型的研究文獻，奠定了本文的研究基礎。第二部分詳細論述了經(jīng)典的投資組合理論，包括傳統(tǒng)的均值-方差模型、資本資產(chǎn)定價模型及BL資產(chǎn)配置模型，并著重闡述了在均值-方差模型基礎上加入投資者觀點的BL資產(chǎn)配置模型的建模思路及參數(shù)估計方法。在計量分析方面，金融計量學中的條件異方差GARCH族模型時間序列分析方法，奠定了本文實證分析的計量經(jīng)濟學基礎。在實證分析方面，本文選取滬深300各行業(yè)的股票指數(shù)作為可以自由配置的基礎資產(chǎn)，采用條件異方差GARCH模型及GARCH-M模型對2011年1月份各行業(yè)指數(shù)波動性進行預測，運用BL資產(chǎn)配置模型比較不同信心水平下的投資者預期收益率。并且將美林投資時鐘理論引入，對BL模型的實證結果進行分析，將金融數(shù)據(jù)按照經(jīng)濟周期分階段進行分析。本文在美林投資時鐘理論定性分析的基礎上，對上一個經(jīng)濟運行周期的中國A股市場行業(yè)資產(chǎn)配置進行了定量分析�？梢钥闯龌贐L模型得出的A股行業(yè)配置推薦權重與美林投資時鐘理論中根據(jù)所處的不同經(jīng)濟周期進行的最優(yōu)行業(yè)配置相一致。
[Abstract]:Asset allocation plays an important role in the field of financial investment. Through asset allocation, investors adjust the investment ratio of different financial instruments and carry out portfolio management. The industry allocation strategy plays a more and more important role in the asset allocation strategy of the securities investment fund. Reasonable and effective industry allocation strategy plays an extremely important role for investors to increase the investment return while reducing and dispersing the investment risk. The first part of this paper briefly describes the development of China's fund market and analyzes the necessity of industry allocation in stock investment. At the same time, it reviews the research literature of Black-Litterman asset allocation model at home and abroad, which lays the foundation of this paper. The second part discusses the classical portfolio theory in detail, including the traditional mean-variance model, capital asset pricing model and BL asset allocation model. The idea of modeling and parameter estimation of BL asset allocation model based on mean-variance model are discussed. In the aspect of econometrics, the conditional heteroscedasticity GARCH family model time series analysis method in finance metrology has laid the econometrics foundation of the empirical analysis in this paper. In the empirical analysis, this paper selects the stock index of Shanghai and Shenzhen 300 industries as the free allocation of basic assets, using conditional heteroscedasticity GARCH model and GARCH-M model to forecast the volatility of each industry index in January 2011. BL asset allocation model is used to compare the expected return rate of investors under different confidence levels. And the Merrill Lynch investment clock theory is introduced to analyze the empirical results of BL model and the financial data are analyzed in stages according to the economic cycle. Based on the qualitative analysis of Merrill Lynch's investment clock theory, this paper makes a quantitative analysis of asset allocation in China's A-share market in the last economic operation cycle. It can be seen that the recommended weight of A share industry allocation based on BL model is consistent with the optimal industry allocation according to the different economic cycles of Merrill Lynch investment clock theory.
【學位授予單位】：首都經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

【引證文獻】

相關碩士學位論文 前1條

1 裴成偉;基于Black-Litterman模型的股票市場行業(yè)配置研究[D];暨南大學;2013年

本文編號：1835851