基于均值方差模型的国际分散化投资组合模型及其实证分析

发布时间：2018-01-03 07:17

本文关键词：基于均值方差模型的国际分散化投资组合模型及其实证分析　出处：《河南大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,随着金融市场全球化的迅猛发展,国际资本、信息技术以及国际证券投资的自由流动,分散化投资组合已经越来越多的获得投资者的青睐,共同探讨国际多元化的股票投资组合也在金融领域成为一个学术研究的热门话题。根据投资的基本理论,投资者可以构建证券的多元化投资组合,以达到降低投资风险的作用,而国际多元化投资组合可以进一步分散风险,因为不同国家的股票之间的相关性比一个国家内股票之间的相关性低得多。本文从理论层面全面回顾和总结了投资组合理论,资产组合的单一周期理论,即静态的投资组合理论,并在对静态投资组合理论进行系统分析的基础上,深入的了解和探讨投资组合理论。作者认为,构建最高效的投资组合的关键在于处理好投资组合中风险与收益之间的关系。最高效的投资组合必定能够做到一定预定收益率要求下实现风险最小化或者一定风险的约束条件下实现利益最大化。本文中,作者不但对均值-方差投资组合模型、单一指数下的投资组合模型和最优投资组合的有效区域进行了深入的探讨,还用数学公式和实证分析阐述了资本资产定价理论和套利定价理论的前提条件和模型推导。本文从微观分析入手,探讨了投资者在构建投资组合的过程中如何确定有效区域、如何确定投资对象之间的相关性以期降低投资风险,从而实现期望效用最大化,并揭示了风险与收益的内在关系,系统分析了Markowitz的资产组合理论,以及存在无风险资产和卖空约束条件下的资产组合问题。此外,本文还着重探讨了投资组合分析的基本问题——有效边界问题。作者介绍了在不允许卖空的条件下如果确定投资组合的有效区域,并演示了如何推理出投资组合的有效边界。本文还选取了全球主要的资本市场(上海,深圳,美国,英国,香港,日本)为研究对象,用股票价格指数的涨跌表示该资本市场的平均收益率。以各主要资本市场1998年至2013年间股指的年度平均收益率为原始数据,以四年为一个观测周期,对各个主要资本市场收益率之间的相关系数进行实证分析和数据分析。通过对16年间各主要资本市场股指平均收益率的研究和统计分析,我们可以对沪深股市之间收益率的相关系数以及沪深股市与全球其他主要资本市场收益率之间的相关系数有一个直观的了解。我国资本市场内部,即沪深股市之间的相关系数相较于沪深股市与全球其他资本市场收益率之间的相关系数明显处于高位,这就说明了,仅仅在相关性较高的沪深股市进行资产投资,是无法有效分散非系统性风险的,同时,尽管面临着全球经济一体化带来的资本市场收益率之间相关性的增强,在全球资本市场构建分散化投资组合模型仍然可以更好的分散投资组合的非系统性风险,从而更好的满足投资者对风险与收益率的需求。此外,我们通过计算出各主要资本市场之间的相关性与方差(风险),可以得出基于某一预期收益率约束条件下的最优投资组合。并通过对全球各主要资本市场之间的相关性分析,得出结论,目前在全球市场上进行分散投资组合依然有分散风险的空间。此外,通过观察全球各资本市场收益率之间相关系数的数据,我们发现,在经济呈下行态势的时候,全球资本市场的相关性会增强,也就是说,全球资本市场倾向于面临同样的低收益率和更高的非系统风险,在这种情况下,分散性投资组合会面临更高的风险,而分散风险的难度将会加大。但是,本文同样指出,一方面,本文进行实证研究的数据均为事后数据,不具有预测性,另一方面,本文没有将本币升值的风险考虑在内,而对于中国投资者来说,本币在未来很长一段时间内将保持升值的趋势。鉴于此,投资者在全球资本市场进行分散组合投资的时候面临的风险可能比本文分析得出的结论高。
[Abstract]:In recent years, with the rapid development of the globalization of financial market, international capital, information technology and the free flow of international securities investment, diversification of investment portfolio has been more and more favored by investors, to discuss the stock portfolio of international diversification has become a hot topic of academic research in the field of finance. According to the basic theory of investment diversification. Portfolio investors can establish the securities, in order to reduce the investment risk, and international portfolio diversification can spread the risk further, because the correlation between different countries shares than the correlation between the stock of a country is much lower.
This paper reviews from the theoretical level and summarizes the portfolio theory, single period portfolio theory, investment portfolio theory is static, and on the basis of systematic analysis of the static portfolio theory, in-depth understanding and study of portfolio theory. The author thinks that the key to build the most efficient portfolio is good relationship between risk and return of the portfolio. The most efficient portfolio will be able to achieve maximum benefit and constraint conditions of predetermined rate of return under the requirements of a certain risk or minimize the risk. In this paper, the author not only on the mean variance model of portfolio investment, the effective area of single index model and optimal portfolio the portfolio is discussed, with mathematical analysis and empirical formula describes the capital asset pricing theory and arbitrage pricing theory before Conditions and model derivation.
This article from the micro analysis of investors, discusses how to determine the effective area in the process of building a portfolio of investment, how to determine the correlation between objects in order to reduce the risk of investment, so as to achieve the expected utility maximization, and reveals the inherent relationship between risks and benefits, the system analysis of the Markowitz's portfolio theory, and there is no risk short selling constraints of assets and the assets portfolio.
In addition, this paper also focuses on the basic problem of portfolio analysis -- the effective boundary problem. The author introduces how to determine the effective area of portfolio and how to deduce the effective boundary of portfolio if it is not allowed to sell short.
The paper also selected major global capital markets (Shanghai, Shenzhen, the United States, Britain, Hongkong, Japan) as the research object, with the change of stock price index represents the average income of the capital market. The annual average return rate in the main capital market from 1998 to 2013 the index rate of original data in four years a period of observation, through empirical analysis and data analysis of the correlation coefficient between each of the major capital market return rate. Through research and statistical analysis of the 16 major capital market stock index average rate of return, we can have an intuitive understanding of the correlation coefficient between Shanghai and Shenzhen stock market returns of Shanghai and Shenzhen as well as between the stock market and the other major global capital market return rate. The correlation coefficient of the internal capital market in our country, the correlation coefficient between the Shanghai and Shenzhen stock market compared to the Shanghai and Shenzhen stock markets and other global capital market The correlation coefficient between the rate was high, which means that only in the high correlation between the Shanghai and Shenzhen stock assets, is unable to effectively disperse the non system risk, at the same time, despite the increase of global economic integration brings capital market yields, non system risk construct diversified investment portfolio model in the global capital market can still diversify better, so as to better meet the investors for the risk and yield requirements. In addition, we calculate the correlation and variance between the main capital market (risk), it can be based on an expected rate of return of optimal portfolio under constraints. And through the analysis of and on the correlation between the major global capital market concluded, is currently in the global market for portfolio diversification is still a risk free Between.
In addition, through the observation of the correlation coefficient between the global capital market yields data, we found that when the economy was in a downward trend, the correlation of the global capital market will increase, that is to say, the global capital markets tend to face non system risk the same low yields and higher, in this case, dispersion investment portfolio will face higher risk, and risk diversification will increase the difficulty.
However, this paper also pointed out that, on the one hand, this paper makes an empirical study on the data after the data, not predictive, on the other hand, the risk of currency appreciation will not be taken into account, and for China investors, will maintain the trend of appreciation of currency in the future for a long period of time. In view of this, investors in the global capital market when dispersed portfolio risk may be higher than the conclusion of this paper.

【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F831.6

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