考虑交易成本的投资策略研究

发布时间：2018-02-23 21:39

本文关键词： 投资组合策略交易成本模型条件CAPM GARCH模型　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融学的核心问题是资源的有效配置,这是通过市场上的交易来完成的。Markowitz(1952)提出的均值-方差分析法,Sharpe(1964)建立在均值-方差分析基础上的资本资产定价模型(CAPM)都是研究资产组合和投资策略问题的经典模型。虽然CAPM揭示了资产组合中“不同资产具有不同收益率”的问题,但其假设十分严格,影响了其实用性。许多学者研究如何削弱其假设条件,以使模型更加符合实际,更好的拟合真实的市场,提出了一些新的模型。Merton(1973)认为CAPM不应该只是单周期的,建立了跨期资本资产定价模型(ICAPM); Breeden(1979)则提出了消费导向的资本资产定价模型(CCAPM)。市场没有交易费用是Merton(1973)问题中完美市场的一个重要假设。但是,在现实生活中,交易成本是存在的。因此,本文在一些相关研究的基础上,进一步研究交易成本条件下的资产组合问题。本文拟研究投资者在一定时期内的动态投资策略,但是这种连续的策略难以获得。所以本文考虑用基金公司的投资策略,作为研究的投资策略,具体是：通过13家基金公司年报、半年报、季报中披露的数据,构建一个从2004年4月到2012年12月共442周的周投资策略,得到调整前的投资组合策略。考虑到数据的一致性和可获得性,本文研究两个资产,即风险资产和无风险资产。每一周的投资策略就是风险资产和无风险资产的投资比例。本文选取RESSET金融研究数据库中的上证指数周收益率、周无风险收益率分别作为市场收益率、无风险收益率。首先,根据交易成本模型,求出在交易成本一定的条件下投资风险资产的最优比例的上限和下限。然后按照这个标准,对该范围外的投资组合比例进行调整,得到调整后的投资组合策略。继而,对已经得到的周市场收益率序列、周无风险收益率序列、调整前的投资组合收益率序列、调整后的投资组合收益率序列进行描述性统计分析,求出各序列的均值、方差、峰度、偏度等统计量,初步分析这些收益率序列的统计性质。其次,对调整前、后的投资组合收益率序列进行比较分析。通过CAPM的拟合效果和投资组合的四种绩效评价指标(累计收益率、夏普比率、特雷诺比率、詹森业绩指数),比较调整前、后的资产组合收益率序列的优劣。通过研究发现,调整后的投资组合策略在各个指标上皆优于调整前的投资组合策略。再次,进一步研究调整后的投资组合收益率序列的性质。其一,对调整后的投资组合序列进行检验。根据检验的结果,使用GARCH、TARCH方法具体分析其特性。其二,考虑熊市信息、牛市信息对投资策略的影响,引入条件CAPM,对调整后的投资组合序列进行分析。其三,在条件CAPM基础上,再引入GARCH、TARCH方法研究。通过研究发现,调整后的投资策略的超额市场收益率序列由AR(2)-GARCH(1,1)模型拟合的较好；而在引入条件信息,考虑条件CAPM时,则由AR(1)-GARCH(1,1)-TARCH模型拟合的较好。最后,通过本文的研究发现,考虑交易成本条件下,我国的股票市场的实际收益率并不太高。因而,将风险资产和无风险资产维持在一定比例,减少因频繁交易产生过大交易成本的投资策略是更好的。这种策略,在牛市时期能获得不低的回报,而在熊市时期能更好的抵御市场风险。在进一步的研究中,有两个方向可以努力。第一,如果能得到某些投资机构真实的、完整的、连续的一段时间的投资策略,可以使研究结果更加准确。并且,根据获得数据的情况,也可以挖掘更多、更深的信息,研究更多的内容。第二,交易成本模型得到的投资风险资产的比例的范围,会因为初值的不同而不同。本文采用的初值是大部分学者研究中采用的经验值。初值的不同对交易成本模型的影响有多大,还需要我们进一步的研究。
[Abstract]:The core problem of finance is the effective allocation of resources , which is accomplished through the transaction in the market . The mean - variance analysis , Sharpe ( 1964 ) established on the basis of the mean - variance analysis , Sharpe ( 1964 ) , is a classical model for the research of asset portfolio and investment strategy . Although CAPM reveals that " different assets have different rates of return " in the portfolio , its assumption is very strict and its practicability is affected . Many scholars have studied how to weaken its hypothesis condition to make the model more realistic and fit the real market , and put forward some new models . Merton ( 1973 ) thinks that CAPM should not be a single - cycle , set up the Cross - Period Capital Asset Pricing Model ( ICAPM ) , and then puts forward the consumption - oriented capital asset pricing model ( CCAPM ) . There is no transaction cost in the market is an important assumption of the perfect market in Merton ( 1973 ) . However , in the real life , the transaction cost is present . Therefore , on the basis of some relevant studies , this paper further studies the portfolio problem under transaction cost . This paper intends to study the dynamic investment strategy of investors in a period of time , but this kind of continuous strategy is difficult to obtain . So this paper takes into account the investment strategy of the fund company as the investment strategy of the research . In view of the consistency and availability of the data , this paper studies the two assets , namely the risk assets and the riskless assets . The investment strategy of each week is the investment proportion of the risk assets and the riskless assets . firstly , according to the transaction cost model , the upper limit and the lower limit of the optimal proportion of the investment risk assets under certain conditions of the transaction cost are obtained . Secondly , comparative analysis is made on the portfolio yield sequence before and after the adjustment . Through the fitting effect of CAPM and the four performance evaluation indexes ( accumulative yield , Sharpe ratio , Treynolds ratio , Johnson performance index ) of the portfolio , the advantages and disadvantages of the portfolio yield sequence before and after adjustment are compared . Through the research , it is found that the adjusted portfolio strategy is superior to the pre - adjusted portfolio strategy . Thirdly , under the condition CAPM and considering the condition CAPM , the AR ( 1 ) - ARCH ( 1,1 ) - TARCH model fits better . Finally , through the research in this paper , it is found that the actual yield of stock market in our country is not too high under the condition of transaction cost . Therefore , it is better to maintain the risk assets and non - risk assets in a certain proportion , reduce the investment strategy of excessive transaction cost due to frequent transactions . This strategy can achieve low returns in the bull market period , and can better resist market risk during the bear market . In the further study , there are two directions that can be worked out . First , if it is possible to obtain the real , complete and continuous investment strategy of certain investment institutions , the research results can be made more accurate .

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91

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