运用Black-Litterman模型对我国股票市场行业配置研究

发布时间：2018-05-02 22:59

本文选题：行业配置 + BL资产配置模型　；参考：《首都经济贸易大学》2012年硕士论文

【摘要】：资产配置在金融投资领域中起着举足轻重的作用，投资者通过资产配置,调节不同金融工具的投资比例，，进行投资组合管理。行业配置策略在证券投资基金的资产配置策略中发挥愈加重要的作用，合理而有效的行业配置策略对于投资者在增加投资收益同时降低并且分散投资风险起着极其重要的作用。本文第一部分对我国基金市场的发展状况进行简要阐述，并分析行业配置在股票投资中的必要性。同时回顾了国内外学者对Black-Litterman资产配置模型的研究文献，奠定了本文的研究基础。第二部分详细论述了经典的投资组合理论，包括传统的均值-方差模型、资本资产定价模型及BL资产配置模型，并着重阐述了在均值-方差模型基础上加入投资者观点的BL资产配置模型的建模思路及参数估计方法。在计量分析方面，金融计量学中的条件异方差GARCH族模型时间序列分析方法，奠定了本文实证分析的计量经济学基础。在实证分析方面，本文选取沪深300各行业的股票指数作为可以自由配置的基础资产，采用条件异方差GARCH模型及GARCH-M模型对2011年1月份各行业指数波动性进行预测，运用BL资产配置模型比较不同信心水平下的投资者预期收益率。并且将美林投资时钟理论引入，对BL模型的实证结果进行分析，将金融数据按照经济周期分阶段进行分析。本文在美林投资时钟理论定性分析的基础上，对上一个经济运行周期的中国A股市场行业资产配置进行了定量分析。可以看出基于BL模型得出的A股行业配置推荐权重与美林投资时钟理论中根据所处的不同经济周期进行的最优行业配置相一致。
[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.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【引证文献】