基于杠杆的分级基金的设计及定价研究

发布时间：2018-01-25 18:32

本文关键词： 分级基金现金流折现法　出处：《辽宁大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文旨在分析分级基金的特点，综合分析目前国内市场上各类普通封闭式基金与分级基金的区别、赢利模式和自身的特点。我国自2007年7月国投瑞银基金管理公司推出第一只分级基金——国投瑞银瑞福分级基金至今，分级基金迅猛发展。该金融产品利用杠杆倍数的差异及风险收益特性与原基金的不同，创造出了一系列风险不同、杠杆系数不同、适应不同人群的投资产品。随着产品数量的增加，我国的分级基金产品设计也逐渐走向了持续发展。在投资标的、运作方式、组织形式上都进行了有效地创新与探索。目前，分级基金在我国投资市场上发挥着越来越重要的作用。从风险收益分割来看，分级基金开始更为清晰地划分收益与风险。从收益风格来看，被动指数型投资成为越来越明显的发展趋势。指数化投资有利于保证收益风格的稳定性，强化了分级基金场内交易工具的价值。从运作方式来看，基于不同投资目标需要，运作方式选择更为灵活。从募集方式上来看，整体募集、分离交易的模式促进了分级基金的快速发展。对于分级基金，我们有一系列的问题需要得到回答：能否找到一个能观测并量化的指标来作为此类产品市场价格的主要影响因素，，以及分级基金的理论价值如何来确定。本文将通过对分级基金的分级方案和定价进行研究，对上述问题提供答案并求解。文章主要分为四个部分：一，首先介绍了分级基金的内涵和特征。二，根据分级基金发展历程和主要问题的阐述来分析我国分级基金面临的问题。三，介绍设计和运作分级基金的方案。四，采用现金流折现定价方法对分级基金进行定价，并通过情景举例的方式对分级基金的定价进行模拟分析。
[Abstract]:The purpose of this paper is to analyze the characteristics of classified funds and the differences between general closed-end funds and classified funds in the domestic market. Profit pattern and its own characteristics. Since July 2007, China has launched its first classified fund, UBS Ruife rating Fund. The financial product makes use of the difference of leverage ratio and the characteristics of risk return to create a series of different risk and different leverage coefficient. With the increase of the number of products, the design of the graded fund products in China has gradually moved towards the sustainable development. In the investment target, the mode of operation. At present, hierarchical funds play a more and more important role in China's investment market. From the perspective of risk income segmentation, classified funds begin to distinguish income and risk more clearly. Passive index-type investment has become a more and more obvious trend of development. Indexed investment helps to ensure the stability of income style and strengthens the value of the trading tools of graded funds. Based on the needs of different investment objectives, the choice of operation mode is more flexible. From the point of view of raising mode, the mode of whole raising and separating transaction promotes the rapid development of graded funds. For hierarchical funds, we have a series of questions to be answered: whether we can find an observable and quantifiable indicator to be the main factor influencing the market price of such products. And how to determine the theoretical value of the graded fund. This paper will provide answers and solutions to the above problems by studying the hierarchical scheme and pricing of the graded fund. The article is mainly divided into four parts: first, introduced the connotation and characteristics of classified funds. Second, according to the development of classified funds and the main problems to analyze the problems faced by the classification fund. 3. This paper introduces the scheme of designing and operating the graded fund. Fourthly, the paper uses the cash flow discount pricing method to price the graded fund, and simulates the pricing of the graded fund by way of scenario examples.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5

【参考文献】