基于小波分析的ICAPM模型的风险价值分解

发布时间：2018-02-24 14:40

本文关键词： 小波分析 ICAPM 风险价值小波方差　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：小波分析是当前应用数学和工程学科中一个迅速发展的新领域,经过近10年的探索研究,重要的数学形式化体系已经建立,理论基础更加扎实。与Fourier变换相比,小波变换是空间(时间)和频率的局部变换,因而能有效地从信号中提取信息。通过伸缩和平移等运算功能可对函数或信号进行多尺度的细化分析,解决了Fourier变换不能解决的许多困难问题。小波变换联系了应用数学、物理学、计算机科学、信号与信息处理、图像处理、地震勘探等多个学科。在八十年代末,小波分析的应用开始涉及金融领域。经济周期、股票市场、外汇市场的多尺度分解等,小波分析提供了新的思路。随着中国金融市场的逐渐完善,交叉学科间的应用需求迫切,小波分析的应用领域更加广泛。在本文中,我们推导出ICAPM模型在时间尺度下的分解,用来解释市场风险和汇率风险。另外,我们导出了一个解析式,用来解释时间尺度下证券投资组合的风险价值和边际风险价值。我们选择亚洲和美洲南中7个发展中国家的股票指数作为我们的样本数据,样本期为2000年到2010年。我们的主要结论有以下三点： (1)首先,估计结果依赖于全球市场的证券投资组合。尤其是样本国家的股票市场与其他发展中国家的股票市场的联系要比相对发达国家的股票市场的联系更加紧密。 (2)第二,风险价值取决于投资者的投资期限范围。在短期投资下潜在的损失比长期投资的多。 (3)最后,根据不同的投资期限,额外的对一些特殊股票的投资会在很大程度上增加风险价值。通过本文的分析,我们的结论是与当前关于多元化投资重要性的资产定价研究相一致的。
[Abstract]:Wavelet analysis is currently applied mathematics and engineering disciplines in a rapidly developing new fields, after almost 10 years of exploration and study, important mathematical formalization system has been established, a solid theoretical base. Compared with Fourier transform, wavelet transform is a space (time) and frequency of the local transformation, which can effectively extract information in the signal analysis. The refinement by dilation and translation can be carried out on multi-scale function or signal, to solve many difficult problems cannot be solved by Fourier transform. The wavelet transform with applied mathematics, physics, computer science, signal and information processing, image processing, multi subject seismic exploration at the end of 80s. The application of wavelet analysis, started in the financial sector. The economic cycle, the stock market, foreign exchange market, the multi-scale decomposition, wavelet analysis provides a new way of thinking. With the Chinese Financial City With the gradual improvement of the field, the application demand between interdisciplinary is urgent, and the application field of wavelet analysis is more extensive.
In this paper, we derive the ICAPM decomposition model in time scale, to explain the market risk and exchange rate risk. In addition, we derive an analytic formula to explain the value of investment portfolio risk and marginal risk value of time scales. We choose the South Asia and the Americas in 7 developing countries stock index as the sample our data, the sample period is from 2000 to 2010. Our main conclusions are the following three points:
(1) first, the estimated results depend on the global market portfolio. Especially, the relationship between the stock market of the sample countries and other developing countries' stock market is more closely related to the stock market of the relatively developed countries.
(2) second, the value of the risk depends on the duration of the investor's investment period. In the short term, the potential loss is more than the long-term investment.
(3) finally, the additional investment in some special stocks will increase the value of the risk to a large extent according to the different period of investment.
Through this analysis, our conclusion is consistent with the current asset pricing research on the importance of diversification.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：O174.2;F224;F831.51

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