基于风险平价策略的大类资产配置实证研究

发布时间：2018-03-19 17:10

本文选题：资产配置　切入点：量化投资　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：投资是个充满挑战和机遇的过程,许多个人和机构投资者都经历过投资失败。当市场崩溃时,不同行业的相关性系数急剧增加,同时流动性急剧降低,通常的分行业分散投资方法在面对“股灾”级别的系统性风险时并没有作用。因此在更大范围的资产类别中寻找投资组合,使其能在各种经济周期中都平稳运行的资产配置方式是市场新的迫切需求,也是各类金融机构的产品研究和开发热点。近几年来国外投资界和学术界引起广泛关注的风险平价方法,就是着眼于控制组合中单一资产的风险贡献,来保证整体组合的风险的一种策略。本文是从风险这一要素出发,研究风险平价策略如何使得即使在出现系统性风险即股灾的情况下,也可以有相对稳定的表现。为此,分为两个角度:寻找更广泛的大类资产。传统的资产配置研究基本只着眼于股票和债券市场,本文研究更广义的大类资产。通过构建这些资产之间的组合,来避免单一市场的系统性风险。结合风险平价策略,并试图在风险平价策略的基础上进行优化,使得整体投资组合的表现更加稳定。通过对过去十几年国内外数据的实证分析得出结论:基于风险平价的大类资产配置策略,能够提高整体组合的收益,并且能够使得整体净值稳步上升。
[Abstract]:Investment is a process of challenges and opportunities, and many individuals and institutional investors have experienced investment failures. When the market collapses, the correlation coefficient of different industries increases dramatically, while liquidity decreases dramatically. The usual industry-by-sector diversification approach does not work in the face of systemic risk at the "crash" level. Therefore, looking for a portfolio in a wider range of asset classes, The way in which assets can function smoothly in all economic cycles is a new and urgent need in the market. It is also a hot spot in product research and development of various financial institutions. In recent years, the risk parity method, which has aroused widespread concern in the foreign investment and academic circles, is aimed at controlling the risk contribution of a single asset in the portfolio. This paper is to study how the risk-parity strategy can make a relatively stable performance even in the event of a systemic risk, that is, a stock disaster, from the point of view of the element of risk. Traditional asset allocation studies focus on the stock and bond markets, this paper studies the broader broad class of assets. By constructing the combination of these assets, To avoid systemic risk in the single market. Combine the risk-parity strategy and try to optimize it based on the risk-parity strategy. Through the empirical analysis of domestic and foreign data in the past ten years, it is concluded that the asset allocation strategy based on risk parity can improve the return of the overall portfolio. And can make overall net worth rise steadily.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831.51

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