新型基金的定价和投资策略模型研究

发布时间：2018-03-23 01:21

本文选题：分级基金　切入点：企业年金　出处：《上海师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：从广义上说,基金是指为了某种目的而设立的具有一定数量的资金。随着中国金融市场的发展,纷繁多样的基金产品日新月异,从结构上看,除了传统的开放式基金,封闭式基金,交易所交易基金(ETF)和上市型开放式基金(LOF)外,我国从2007年起引入了带杠杆作用的分级基金.从资金来源上看,除了人们所熟知的信托投资基金,公积金,退休金,保险基金和养老金外,我国自2004年起实行了《企业年金试行办法》.这些新型的基金品种成了本课题的研究来源. 本课题所研究的分级基金,企业年金都是当今社会比较热门的新型基金品种,它们的定价是否合理,投资策略是否恰当对于整个社会而言都有十分重大的意义. 本文首先在第一章对分级基金和企业年金的概念做了简单概述,并综合梳理前人的研究成果以及本文想要解决的问题.第二章介绍了本文需要用到的基本概念和理论. 第三章研究了我国市场上一类指数型分级基金的定价问题.利用无套利原理,对银华深证100指数分级基金建立了数学模型,通过求解偏微分方程得到了显式解,并从金融意义上分析了各个参数以及杠杆率对价格的影响.另外,对条款设计进行了合理性改进,在向下敲出边界上引入计时器,从而加强了产品的投资保本性. 第四章在王晓芳等[15]文的基础上提出了更为优化合理的企业年金的最优动态配置策略.将企业年金的目标资产量的设定与替代率挂钩,同时把实际资产量与目标资产量的偏差作为成本函数,考虑个人在整个缴纳、支付过程中,以成本函数累计最小为最优规划来构建最优动态资产配置策略.最后在数值解的基础上分析了不同群体不同参数设定对配置策略的影响. 第五章考虑将期权引入企业年金的投资证券池中.在第四章的基础上建立含期权的企业年金最优投资策略,同样利用动态规划原理建立HJB(Hamilton Jacobi Bellman)方程,并给出数值解法. 最后总结全文,提出了本文存在的不足与发展方向.
[Abstract]:Broadly speaking, a fund is a certain amount of funds set up for a certain purpose. With the development of China's financial market, a variety of fund products are changing with each passing day. From a structural point of view, in addition to the traditional open-end funds, In addition to closed-end funds, exchange-traded funds (ETFs) and listed open-end funds (LOFs), China has introduced leveraged classified funds since 2007. From the source of funds, in addition to the well-known trust and investment funds, provident funds and pensions, In addition to insurance funds and pensions, China has implemented the "pilot measures of Enterprise annuity" since 2004. These new types of funds have become the research source of this subject. Enterprise annuity is a hot new type of fund in the society. Whether the pricing is reasonable or not and whether the investment strategy is appropriate is of great significance to the whole society. In the first chapter, the concepts of classified fund and enterprise annuity are briefly summarized, and the previous research results and the problems to be solved in this paper are summarized. The second chapter introduces the basic concepts and theories that need to be used in this paper. In the third chapter, we study the pricing problem of a class of index graded funds in Chinese market. By using the no-arbitrage principle, we establish a mathematical model for the 100 index graded funds of Yinhua and Shenzhen Stock Exchange, and obtain the explicit solution by solving partial differential equations. It also analyzes the influence of various parameters and leverage ratio on price from the financial point of view. In addition, the reasonable design of terms is improved, and the timer is introduced into the down knock out boundary, so as to strengthen the nature of investment protection of the product. In chapter 4, on the basis of Wang Xiaofang et al. [15], the author puts forward a more reasonable optimal dynamic allocation strategy of enterprise annuity, which links the setting of target asset quantity of enterprise annuity to the substitution rate. At the same time, the deviation between the actual asset amount and the target asset amount is taken as a cost function, and the individual is considered in the whole process of payment and payment. The optimal dynamic asset allocation strategy is constructed with the cumulative minimum of cost function as the optimal programming. Finally, based on the numerical solution, the effects of different groups and different parameters on the allocation strategy are analyzed. In chapter 5, we consider introducing the option into the investment securities pool of enterprise annuity. On the basis of chapter 4, we establish the optimal investment strategy of the enterprise annuity with option. We also establish the HJB(Hamilton Jacobi Bellman equation by using the dynamic programming principle, and give the numerical solution. Finally, this paper summarizes the full text, and puts forward the shortcomings and development direction of this paper.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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