FOF基于风险平价理论的资产组合研究

发布时间：2018-03-11 16:45

本文选题：基金中的基金(FOF)　切入点：风险平价　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：传统金融学中,马克维茨资产组合理论已经被众人所熟知。马克维茨理论中讲述了在配置风险资产的时候要遵循分散化原理,并且当风险一定(或者收益一定的时候)想要最优化自己的投资组合有且只有一个收益最大(或者风险最小的)点在的曲线,这个曲线称之为有效边界组合。这个理论是传统金融学理论的基础,也使马克维茨先生荣获了诺贝尔经济学奖。但是,该理论有一个致命的缺陷即当投资组合中的各个资产的风险度不同的时候的情况其没有考虑。比如当大类资产中包含股票,债券,货币投资的时候,整个投资组合的风险往往是被其中股票资产的波动(即风险)所控制,这与传统的分散化投资理念是相悖的。基于此,PanAgora基金的首席投资官钱恩平博士提出了著名的风险平价(Risk-Parity)理论,这一理论后来被桥水基金用于实际投资,获得了很好的成果。本文就是利用风险平价思想,研究指数配置和ETF配置于目前国内火热的公募FOF产品的资产比例的研究。做出风险平价理论在中国市场的应用实例,为中国的新的专注于公募FOF资产配置的基金公司提出一种资产配置的思路。当然我个人认为风险平价方法非常适合养老金的作为投资FOF产品的投资人(母基金)的资产权重选择方法。研究方法主要采取利用WIND数据库提取指数和ETF的数据,计算收益率序列,再根据收益率序列得到协方差矩阵。再根据后面的风险贡献度数学公式构建方程组,求解权重。其他的问题主要是依靠EXCEL的编程实现,一部分要依靠MATLAB进行编程求解大数据下的权重问题。此部分是论文的核心,后面展示了每种资产和不同资产下的FOF组合的权重展示图,净值走势图,还有绩效考察图。从三个方面全面的解读了利用风险平价理论在中国的资产配置的优势性和可行性。得到结论,风险平价理论可以用于在中国的投资FOF基金的一种资产配置理念。
[Abstract]:In traditional finance, Markowitz's portfolio theory is already well known. Markowitz's theory talks about the principle of decentralization in the allocation of risky assets. And when the risk is certain (or the return is certain) you want to optimize your portfolio with only one curve with the greatest (or least risky) point, This curve is called the efficient Boundary combination. This theory is the foundation of the traditional financial theory, and it also won Mr. Markowitz the Nobel Prize in Economics. There is a fatal flaw in this theory, that is, when the risk levels of each asset in the portfolio are different, it is not taken into account. For example, when a large class of assets include stocks, bonds, and money investments, The risk of the entire portfolio is often controlled by the volatility of the equity assets in the portfolio. This goes against the traditional idea of diversification. Based on this, Dr. Qian Enping, chief investment officer of the PanAgora Fund, put forward the famous Risk-Parity2 theory, which was later used by the bridge water fund to actually invest. In this paper, we use the idea of risk parity to study the asset ratio of index allocation and ETF allocation to the hot public offering FOF products in China, and make an example of the application of risk parity theory in Chinese market. Propose an asset allocation approach for China's new fund companies focused on FOF asset allocation. Of course, I personally think that the risk parity approach is very suitable for pension investors (parent funds) who invest in FOF products. The main research method is to use WIND database to extract index and ETF data. Then the covariance matrix is obtained according to the return sequence. Then the equations are constructed according to the following mathematical formulas of risk contribution, and the weight is solved. The other problems are mainly realized by the programming of EXCEL. This part is the core of the thesis, which shows the weight display chart of FOF combination under each kind of assets and different assets, the net worth trend chart. There is also a performance review chart. From three aspects of the comprehensive interpretation of the use of risk parity theory in China's asset allocation advantages and feasibility. Risk parity theory can be used to invest in FOF funds in China an asset allocation concept.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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