针对我国A股文化板块资产配置的研究

发布时间：2018-02-28 22:21

本文关键词： 资产配置文化行业有效前沿积极配置信息预测　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文针对我国A股文化板块的资产配置进行系统地研究,行业基金的出现给予在行业层面上配置一定启发。文化板块具有特殊性,一方面针对本身具有高风险高收益的特征,一方面针对市场具有非周期非防御性的特征,因此要投资于文化板块,一方面需要考虑对文化板块风险进行控制,本文是通过交运仓储行业作为代表的周期性板块、公共事业行业作为代表的防御性板块和以生物医药为代表的成长性板块对文化板块进行组合配置,以控制文化板块的风险,实际应用中,对行业基金分散风险而进行组合有较大借鉴意义；另一方面通过在文化板块内部积极配置,以获得在一定残余风险下最大的残余收益,以期充分分享文化企业的成长性收益,获取超过文化板块指数的收益。本文在均值方差体系下,完成对各板块的最优配置和文化板块内个股的最优配置,并通过历史数据得出了我国上市文化板块如何进行最优配置。历史并不能代表未来,在文化产业上有充分的反映,使用历史的数据进行分析总会对文化产业未来的收益预测产生偏差,因此需要对未来的收益率进行预期。在战略性资产配置方面,是根据文化产业政策对历史数据进行修正,在积极配置方面,是根据投资者获得的信息和预测能力来对历史数据进行修正。本文研究发现,通过构建投资组合相对于单独投资于文化板块能明显降低风险,为了控制风险又能获取收益最低对文化板块的配置应在15%-20%之间,大于50%的文化板块配置只需与生物医药板块的构成组合能控制风险获取高回报,而73.7%的文化板块和26.3%的生物医药板块配置在没有最低条件限制的情况下能达到夏普比率的最大化,要获得高收益,需要增加在文化板块上的配置权重。最低比例的文化板块的限制会带来有效边界向右移动,带来高风险,这时的最优配置也是在文化板块大于50%的权重加上一定权重的生物医药板块,即使是有限制条件的最优配置形成的有效边界效率也高于沪深300指数。在文化板块内部的积极配置通过始终保持与市场共同的系统性风险的前提下来进行残余收益一定下的残余风险最小化,研究发现这个最优组合是由两个特征组合构成的,并通过信息比率来建立积极型边界。同时还通过对各股超额收益的因素分析发现影响显著因子的是经营区域范围,以此作为其中一个信息来源,构建对超额收益α的预测。
[Abstract]:This paper makes a systematic study on asset allocation of A-share culture plate in China, and the emergence of industry funds gives some inspiration to the allocation at the industry level. On the one hand, the cultural plate has its particularity, on the one hand, it has the characteristics of high risk and high income. On the one hand, the market has the characteristics of non-periodic non-defensive, so to invest in the cultural sector, on the other hand, we need to consider the risk control of the cultural plate, this paper is through the transportation and warehousing industry as the representative of the cyclical plate, The defensive plate represented by the public utility industry and the growth plate represented by biomedicine are combined with the cultural plate to control the risk of the cultural plate. On the other hand, we can get the maximum residual income under a certain residual risk by actively allocating in the cultural plate, in order to fully share the growth income of cultural enterprises. In this paper, the optimal allocation of each plate and the optimal allocation of individual stocks in the cultural plate are completed under the mean variance system. And through the historical data, we can find out how to make the best allocation of the listed culture plate in our country. History can not represent the future, and it is fully reflected in the cultural industry. The use of historical data for analysis always leads to deviations from future earnings forecasts for cultural industries, so it is necessary to anticipate future returns. In terms of strategic asset allocation, historical data are revised according to cultural industry policies. In terms of positive allocation, historical data are revised based on the information and predictive power available to investors. In this paper, we find that the risk can be significantly reduced by constructing a portfolio, and the allocation of the cultural sector should be between 15% and 20% in order to control the risk and gain the lowest income. More than 50% of the cultural sector configuration only need to be combined with the biomedical sector to control the risk to achieve high returns, And 73.7% of the cultural sector and 26.3% of the biomedical sector can maximize Sharp's ratio without minimum conditionalities, in order to achieve high returns. There is a need to increase the allocation weight on the culture plate. The lowest proportion of the cultural plate restrictions can lead to the effective boundary moving to the right, which brings high risk. The optimal allocation is also in the biomedical plate where the weight of the cultural plate is greater than 50% plus a certain weight. Even the efficient boundary efficiency of the optimal allocation with restricted conditions is higher than that of the CSI 300 index. Under the premise of keeping the common systemic risk with the market, the residual risk is minimized under the premise of the positive disposition within the culture plate. The study found that the optimal combination is composed of two characteristic combinations. At the same time, through the analysis of the factors of excess return of each stock, it is found that the significant factor is the scope of business area, which is one of the information sources to construct the prediction of excess return 伪.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;G124

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