现代投资组合新视角:对冲基金配置的理论与实证研究

发布时间：2018-04-17 11:48

本文选题：对冲基金 + 投资组合新构架　；参考：《上海金融》2011年02期

【摘要】：本文在分析传统的投资对冲基金组合架构存在不足的基础上,提出了新的资产组合构架模型,并从理论上论证了对冲基金为何不是一个纯粹超额收益的制造者而更多是一个风险溢价的提供者以及将对冲基金与传统资产有机整合到一起的好处。然后用Cornish—Fisher伸展式对新的资产组合进行分析,证明了新架构的合理性,并用欧美市场的数据进行实证检验。本研究为对冲基金投资者提供了新的操作范式。
[Abstract]:Based on the analysis of the shortcomings of the traditional hedge fund portfolio architecture, a new portfolio architecture model is proposed in this paper.It also demonstrates theoretically why hedge funds are not pure producers of excess returns but more providers of risk premiums and the advantages of integrating hedge funds with traditional assets.Then the new portfolio is analyzed with Cornish-Fisher extension, and the rationality of the new structure is proved, and the empirical test is carried out with the data of European and American markets.This study provides a new operating paradigm for hedge fund investors.
【作者单位】：上海国际集团博士后工作站;摩根斯坦利(伦敦)对冲基金部;
【分类号】：F224;F830.59

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