基于CDaR有交易费用的多阶段金融资产配置及实证研究

发布时间：2018-05-14 08:42

本文选题：多阶段金融资产配置 + 情景生成　；参考：《东北大学》2012年硕士论文

【摘要】：在经济全球化、信息技术进步以及衍生工具的开发等因素的推动下,全球金融市场发生了巨大的变化。同时,世界各国之间金融市场的联系更为紧密,资金以及信息的流通效率也大幅度提高,使得金融市场呈现出前所未有的波动性,风险管理越来越成为投资者资产配置的一个重要目的。本文在Carino多阶段模型的基础上加入CDaR风险度量方法,建立多阶段金融资产配置模型,并选取2008年1月1日到2011年2月28日这38个月的活期存款利率、上证国债指数收益率、上证综合指数收益率的数据作为样本数据并进行实证研究。 (1)引入CDaR方法,建立多阶段金融资产配置模型。在Carino的多阶段金融资产配置模型的基础上,考虑了交易费用以及CDaR风险度量方法,建立了多阶段金融资产配置模型,并通过引入罚函数处理机制建立辅助问题,得到多阶段的最优资产配置策略。 (2)利用Matlab7.10程序,求解基于CDaR的多阶段金融资产配置模型。本文立足于基于CDaR方法有交易费用的多阶段金融资产配置模型,运用我国市场真实数据,针对有交易费用与无交易费用、静态规划与动态规划这两个维度对模型进行实证研究,并考虑了投资者的不同风险偏好对模型结果的影响,补充了国内关于CDaR方法在多阶段金融资产配置方面研究的不足。 (3)通过静态以及动态金融资产配置模型的比较结果,得出动态资产配置比静态资产配置更靠近现实投资决策、更具有优越性的结论。在静态的条件下,投资者的资产配置会持续到期末。而在实际的资产配置活动中,投资者的决策往往都是动态的,他们会根据投资环境的变化适时的调整资产配置,以达到资产配置的最优状态。 (4)在静态规划以及动态规划这两种情景下,考虑交易费用这个摩擦因素对基于CDaR方法的金融资产配置模型的影响,得出交易费用的金融资产配置具备一定程度的影响,并且在动态规划中交易费用对金融资产配置的影响大于在静态规划条件下。
[Abstract]:Under the impetus of economic globalization, the progress of information technology and the development of derivatives, great changes have taken place in the global financial market. At the same time, the financial markets in the world are more closely linked, and the efficiency of the circulation of funds and information has been greatly improved, which has made the financial markets exhibit unprecedented volatility. Risk management is becoming an important purpose of investor asset allocation. Based on the Carino multi-stage model, this paper adds the CDaR risk measurement method, establishes the multi-stage financial asset allocation model, and selects the current deposit interest rate from January 1, 2008 to February 28, 2011, and the return rate of Shanghai Treasury bond index. Shanghai Composite Index return data as sample data and empirical research. 1) introducing CDaR method to establish multi-stage financial asset allocation model. On the basis of the multi-stage financial asset allocation model of Carino, considering the transaction cost and CDaR risk measurement method, the multi-stage financial asset allocation model is established, and the auxiliary problem is established by introducing penalty function processing mechanism. A multi-stage optimal asset allocation strategy is obtained. Using Matlab7.10 program to solve the multi-stage financial asset allocation model based on CDaR. This paper is based on the multi-stage financial asset allocation model with transaction cost based on CDaR method. Using the real market data of our country, this paper makes an empirical study on the two dimensions of transaction cost and non-transaction cost, static planning and dynamic programming. The influence of investors' different risk preference on the results of the model is considered, which complements the deficiencies of the domestic research on the multi-stage allocation of financial assets using CDaR method. 3) by comparing the static and dynamic financial asset allocation models, it is concluded that the dynamic asset allocation is closer to the real investment decision than the static asset allocation and has more advantages. Under static conditions, the investor's asset allocation will last until the end of the period. In the actual asset allocation activities, the investor's decision is always dynamic, they will adjust the asset allocation according to the change of the investment environment, in order to achieve the optimal state of asset allocation. 4) under the static planning and dynamic programming scenarios, considering the friction factor of transaction cost to the financial asset allocation model based on CDaR method, it is concluded that the transaction cost financial asset allocation has a certain degree of influence. The effect of transaction cost on the allocation of financial assets in dynamic programming is greater than that in static planning.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.5;F224

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