大类资产配置风险平价模型及其应用

发布时间：2018-11-03 07:04

【摘要】：随着居民收入的不断增加和理财观念的不断增强,资产配置的需求不断增加,市场上金融工具的不断丰富,给资产配置提供了必要条件。宏观经济周期的轮动会影响股票、债券、大宗商品等资产的回报率,因此如何把握大类资产收益率的轮动情况,并动态调整资产的权重来获取超额收益,已经被越来越多的投资者关注。本文梳理了恒定比例投资模型、均值方差模型、B-L模型、目标风险模型及风险平价模型共五类资产配置模型,并分析了它们之间的差异及相关性。风险平价模型的核心是平分风险,而不考虑预期收益率,但是在一定的条件下,风险平价模型能达成与其他模型一致的结果:当各资产的波动率和相关系数完全相同时,风险平价模型与恒定比例模型等同;当各资产的夏普比率和相关系数完全相同时,风险平价模型与Markowitz模型等同。本文重点介绍了风险平价模型,其核心思想是通过动态配置权重使得各资产的风险贡献度相同,且其倾向于高配低风险、低β的资产。当利用最大回撤代替波动率定义风险时,则模型演变为基于最大回撤的风险平价模型;由于相对动量可以有效地捕捉大类资产在市场中的轮动,因此将相对动量引入风险平价模型可以有效增厚收益;当各资产之间高度相关时,风险平价组合的结果可能会差强人意,基于此我们找到了基于风险因子的风险平价模型,即保证每个因子的风险贡献度一致。本文利用沪深300、中证500、恒生指数、纳斯达克100、德国DAX、上证5年期国债、黄金共七个指数,通过风险平价模型构建全球资产配置组合,得到的净值曲线平滑,回撤很小,但是因为收益率偏低的债券占比较大,年化收益率仅为4.1%,不能满足投资者对收益率的需求。为此,本文引入相对动量的概念进行改进,即在调仓时仅选取动量排名靠前的资产进行配置,改进后年化收益率提高到8.6%。对比改进前后的结果,站在资产占组合平均比重的角度来看,债券类资产的比重大幅下降;站在各资产的收益率贡献角度来看,改进后各资产的收益率贡献度相对平均,因此倘若其中一种资产大幅下跌,组合不会遭遇巨大的回撤。对比动量风险平价模型、等权重模型和均值方差模型,我们发现动量风险平价模型能够取得最好的风险收益比,这说明风险平价模型作为一种新兴的大类资产配置方法,在国内有较好的适用性,并且较传统的配置模型能够取得较好的风险收益比。
[Abstract]:With the increase of residents' income and the increasing of financial management concept, the demand for asset allocation is increasing, and the financial instruments in the market are becoming more and more abundant, which provides the necessary conditions for asset allocation. The rotation of the macroeconomic cycle will affect the return on stocks, bonds, commodities and other assets, so how to grasp the rotation of the return on large asset classes and dynamically adjust the weight of the assets to obtain excess returns, It has attracted more and more attention from investors. In this paper, five kinds of asset allocation models, including constant proportion investment model, mean variance model, B-L model, target risk model and risk parity model, are sorted out, and their differences and correlations are analyzed. The core of the risk parity model is to divide the risk equally without considering the expected rate of return. However, under certain conditions, the risk parity model can achieve the same result as other models: when the volatility and correlation coefficient of each asset are identical, The model of risk parity is the same as the model of constant proportion; When the Sharpe ratio and correlation coefficient of each asset are identical, the risk parity model is equivalent to the Markowitz model. This paper focuses on the risk parity model. The core idea of the model is that the risk contribution of each asset is the same through dynamic allocation of weights, and it tends to be high, low risk and low 尾 assets. When the risk is defined by the maximum retreat instead of the volatility, the model becomes the risk parity model based on the maximum retreat. Because the relative momentum can effectively capture the rotation of a large class of assets in the market, the introduction of relative momentum into the risk parity model can effectively increase the returns. When the assets are highly correlated, the results of the risk parity portfolio may be unsatisfactory. Based on this, we find a risk parity model based on risk factors, that is, to ensure that the risk contribution of each factor is consistent. This paper uses Shanghai and Shenzhen 300, China Stock Exchange 500, Hang Seng Index, NASDAQ 100, German DAX, Shanghai 5-year Treasury bonds and Gold seven indices to construct global asset allocation portfolio through risk parity model. The net worth curve is smooth and the retreat is very small. But because bonds with lower yields account for more, annualized yields are just 4.1 percent, which is not enough to meet investor demand for yields. Therefore, this paper introduces the concept of relative momentum to improve, that is to say, only the assets in the first rank of momentum are selected for allocation, and the annual rate of return is increased to 8.6. Compared with the results before and after the improvement, from the point of view of the average proportion of assets in the portfolio, the proportion of bond assets decreased significantly; From the point of view of the yield contribution of each asset, the yield contribution of the improved asset is relatively average, so if one of the assets falls sharply, the portfolio will not suffer a huge retreat. Compared with momentum risk parity model, equal weight model and mean variance model, we find that momentum risk parity model can obtain the best risk-return ratio, which shows that risk parity model is a new kind of asset allocation method. It has better applicability in China, and better risk-return ratio than the traditional allocation model.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】