Alpha对冲下A股行业的波动性与相关性研究

发布时间：2018-05-03 10:43

本文选题：行业配置 + Alpha对冲　；参考：《复旦大学》2013年硕士论文

【摘要】：机构投资者由于资金量大,投资规模大,具有专业化的投资分析等先天优势,将会逐渐取代个人投资者成为金融市场的主流投资者。这使得建立投资组合进行分散投资以降低风险成为最永恒的投资主题。本文就针对机构投资者在进行A股组合投资时如何进行行业配置以便最优化的降低投资风险提出建议,即对A股行业的波动性和相关性做一个系统的探索。根据以往相关研究中的不足,为了排除系统风险因素对行业间的波动性和相关性的影响,本文在沪深300指数对冲系统性风险(alpha对冲)的基础上,对A股行业的波动性和相关性做出研究,并采用数据挖掘技术及聚类分析等方法来对大量原始数据进行系统的统计分析,避免使用复杂计量模型所带来的较大误差。本文的研究结果表明,在进行alpha对冲的前提下,投资组合中行业个数的增加会降低组合的波动率,并且涵盖金融服务业会显著的降低其波动率。其中农林牧渔、机械设备、信息设备、纺织服装、医药生物、商业贸易这6个行业的alpha部分相关系数持续较大。针对研究结果做出的投资组合的行业配置建议为：固定配以一定权重(约15%-25%)于金融服务业,剩余权重分散投资于其他六个行业(可以再次包括金融服务业)。并且投资组合中农林牧渔、机械设备、信息设备、纺织服装、医药生物、商业贸易这6个行业的权重之和不宜超过30%。
[Abstract]:The institutional investors will gradually replace the individual investors as the mainstream investors in the financial market because of their large amount of capital, large scale of investment, and the inherent advantages of specialized investment analysis. This makes the establishment of portfolio diversification to reduce risk become the most permanent investment theme. This paper puts forward some suggestions on how to optimize the investment risk of institutional investors when they invest in A share portfolio, that is, to make a systematic exploration on the volatility and correlation of A share industry. In order to eliminate the impact of systemic risk factors on the volatility and correlation between industries, this paper is based on the Shanghai-Shenzhen 300 Index to hedge against systemic risk and alpha hedging. This paper studies the volatility and correlation of A share industry, and uses data mining technology and cluster analysis to make systematic statistical analysis of a large number of raw data, so as to avoid the large errors caused by the use of complex metrological models. The results show that under the premise of alpha hedging, the increase in the number of industries in the portfolio will reduce the volatility of the portfolio, and cover the financial services industry will significantly reduce its volatility. Among them, agriculture, forestry, animal husbandry and fishery, machinery and equipment, information equipment, textile and clothing, medicine and biology, commercial trade, these six industries of the alpha partial correlation coefficient continued to be larger. According to the results of the research, the industry configuration suggestion of portfolio is: fixed allocation of certain weight (about 15-25%) in financial service industry, and the remaining weight is scattered in the other six industries (including financial service industry again). And the sum of the weights of agriculture, forestry, herding and fishery, machinery and equipment, information equipment, textile and clothing, medicine and biology, commerce and trade should not exceed 30%.
【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】：F224;F832.51

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