证券投资中的资产配置决策研究

发布时间：2018-01-02 15:44

本文关键词：证券投资中的资产配置决策研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：证券投资基金是证券市场最为主要的机构投资者,资产配置、择时和证券选择是投资组合管理常用的三种工具,其中对于长期投资来说,资产配置的影响最为重大。所谓资产配置即把种类各异的资产所能获取的利润与投资者的风险偏好联系在一起,在一定的风险水平上构造出最佳的投资组合。资产配置之所以被认为是长期投资回报的主要决定因素,是由于良好的资产配置可以大大降低基金投资的风险,并且能够有效地控制极端投资损失发生的可能性。由此可见,证券投资基金管理的本质就是在优化资产配置、建立有效的投资组合的基础上,通过合理地控制和分散风险来取得长期超额的收益。然而就目前来看,我国仍缺乏通过资产配置来降低证券投资风险的能力,基金机构在股市中表现不佳,美国金融危机爆发以来中国股市更是大幅下跌,导致中国基金行业遭受了惨重的损失。因而关于证券投资基金资产配置决策的研究,对于我国合格机构投资者的发展以及证券市场安全稳定地运行都具有重要的现实意义。本文主要包括资产配置基本理论、资产配置的实践、资产配置的案例三个部分。第一部分为资产配置基本理论。首先分析了投资者的生命周期、投资者的流动性需求与资产的流动性特征、资本市场环境、投资期限以及税收对证券投资基金资产配置的影响。在此基础上具体阐述了证券投资基金资产配置的步骤,主要包括制定投资目标、选择资产类别、确定组合的标准配置比例、选择投资方式、配置再平衡五个部分。第二部分揭示了我国目前证券投资基金资产配置的现状。首先通过阐述美国投资者投资模式的变化,说明了随着时代的发展、经济环境的变化,投资者的投资模式也在逐步改善。其次对保险公司、社保基金、主权基金三类在实践中真正实施资产配置操作的机构证券投资基金资产配置的情况进行了详尽分析,以此说明,所有资产类别都有经济环境偏好。某种资产在某些经济环境下会表现得很好,在其它经济环境下会表现不佳。所以在投资实务中,由于不同的投资者面临的经济环境不同,不同投资者的资产配置偏好也完全不同。第三部分以具体的保险公司作为案例,详细说明了证券投资基金资产配置的决策过程。首先总体上阐述了保险公司证券投资基金资产配置的主要程序以及政策等内容。之后以某具体保险公司为例,加入具体的数字,详细说明了其资产配置的程序、策略以及进行资产配置时所考虑的因素。通过对保险公司证券投资基金资产配置的详细阐述可以使人们对于证券投资基金资产配置有一个更加具体形象的理解。本文的创新点在于综合已有证券投资学等理论,总结了相关大类资产的不同特点,辨析了不同种类资产的风险与收益期望之间的关系,区分了宏观、中观资产配置决策方法,分析了大类资产配置与相关学科(宏观经济学、组合投资学等)之间的关系,为证券投资中的资产配置决策提供了重要的理论依据。选择对证券投资中的资产配置决策进行研究,正是考虑到了我国当前基金发展的现状和前景,希望本文的研究成果能够使人们对证券投资资产配置有一个更加全面深刻的了解,更加重视对于证券投资资产配置研究,同时也希望对我国投资基金行业的发展起到一定的借鉴作用。
[Abstract]:Securities investment fund is the stock market is the most important institutional investors, asset allocation, market timing and stock selection is the portfolio management of three kinds of commonly used tools, which for long-term investments, asset allocation is the most important influence. The so-called profit and investors asset allocation of different kinds of assets that can obtain the risk preference relation together, in a certain level of risk on the construction of optimal portfolio. Asset allocation is considered the main decision factors of long-term investment returns, the risk is due to a good asset allocation can greatly reduce the fund investment, and can effectively control the probability of extreme loss. Thus, the essence of management of securities investment fund is the optimization of asset allocation, the establishment of an effective investment portfolio based on the reasonable control and risk diversification to achieve long-term super The income of the amount.
However, at present, our country still lacks the ability to reduce the risk of securities investment funds through asset allocation, poor performance in the stock market in the United States since the outbreak of the financial crisis, the stock market is China fell sharply, leading to Chinese fund industry suffered heavy losses. So the decision on the asset allocation of security investment fund research, to have important practical significance to development of our qualified institutional investors and the stock market safe and stable operation.
This paper mainly includes the basic theory of asset allocation, the practice of asset allocation, and three parts of the case of asset allocation.
The first part is the basic theory of asset allocation is analyzed. Investors life cycle, liquidity characteristics and asset liquidity needs of investors, the capital market environment, the investment period and the effects of Taxation on securities investment fund asset allocation. On the basis of elaborated the securities investment fund asset allocation steps, including the development of investment targets selection, asset classes, determine the proportion of the combination of standard, choice of investment, rebalancing the configuration of five parts.
The second part reveals the present situation of the securities investment fund asset allocation. Firstly, by describing the changes of American investors investment model, that with the development of the times, the change of economic environment, investment mode is gradually improving. Secondly, insurance companies, pension funds, sovereign funds three categories of asset allocation in the real implementation of the operation in the practice of the institution of securities investment fund asset allocation carried out detailed analysis, in order to explain, all asset classes have economic environment preferences. Some assets will perform well in certain economic environment, in other economic environment will underperform. So in the investment practice, because investors face different economic environment different asset allocation preference of different investors are completely different.
The third part of the specific insurance company as a case, a detailed description of the decision making process of securities investment fund asset allocation. Firstly, elaborate the insurance company main program of securities investment fund asset allocation and policy content. After taking a specific insurance company as an example, the addition of specific numbers, a detailed description of its asset allocation program the factors considered, strategy and asset allocation. Through a detailed description of the insurance companies securities investment fund asset allocation can make people have a more specific understanding of the image of the securities investment fund asset allocation.
The innovation of this paper is combined with the existing securities investment theory, summarizes the different characteristics of the relevant categories of assets, analyzes the relationship between different types of asset risk and earnings expectations, the distinction between the macro, meso asset allocation decision method, analyzes the categories of asset allocation and related disciplines (macro economics, portfolio investment etc. the relationship between), provides an important theoretical basis for asset allocation of securities investment. For the research on the selection of asset allocation of securities investment, considering the present situation and Prospect of China's current development fund, hope that this research can make people have a more comprehensive and profound understanding the asset securitization investment allocation, pay more attention to the research on asset allocation of securities investment, but also hope to make some contribution to the development of China's investment fund industry.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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