基于投资时钟理论的大类资产配置研究

发布时间：2018-01-10 18:22

本文关键词：基于投资时钟理论的大类资产配置研究　出处：《河北大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国经济稳步的发展，居民收入的日益提高，，社会整体对闲置资金的保值增值需求不断增加。同时，我国金融市场的日益繁荣，使投资者的投资领域和持有的投资品种日趋多元化。大型机构投资者如银行、证券公司、基金和信托等都把资产配置的优化和其对经济发展形势的适应性作为自身发展的重要考虑因素。如何把握宏观经济波动、提高资产配置的合理性并从中获得收益，逐渐成为投资机构和投资者考虑的重要问题。因此本文在借鉴美林证券的投资时钟理论的基础之上，力图得到适合我国市场的投资时钟，来指导投资者在不同经济周期环境中进行资产配置。本文首先总结了前人对经济周期和资产配置的相关研究，同时阐述了最新的投资时钟的理论和方法。然后在我国经济环境下，论述了投资时钟运用的合理性，并通过分析我国1994年以来经济运行的趋势，对相应的经济周期进行了阶段划分，计算了不同大类资产在各经济周期阶段中的不同收益。接着比较了我国经济中的投资时钟与美林的投资时钟理论的异同，结合我国经济条件对其加以完善和改进。文章共分为五章。第一章导论，介绍了研究的背景和意义以及相关研究的现状。第二章大类资产及投资时钟理论，论述了研究中大类资产划分的标准，也对美林提出的投资时钟理论的相关研究思路与方法进行了概述与总结，对后文的研究起到铺垫的作用。第三章我国市场投资时钟与资产配置，是在上文基础上研究我国市场环境下的投资时钟。通过划分我国经济周期的不同阶段，对不同阶段的不同大类资产收益率进行计算和相关统计学检验。最后总结出我国市场中投资时钟的规律及其与传统投资时钟的异同。第四章结论，在参考我国市场投资时钟自身规律的前提下，提出了方法的改进和对国内投资者资产配置的建议。
[Abstract]:As China's economic development steadily, income increasing, the whole society of idle funds and increase the value of increasing demand. At the same time, China's financial market increasingly prosperous, the investment field and hold investment varieties increasingly diversified. Large institutional investors such as banks, securities companies, funds and trust etc. the key factors to optimize asset allocation and its adaptability to the situation of the economic development for their own development. How to grasp the macro economic fluctuation, improve the rationality of asset allocation and derive income, an important issue has gradually become investment institutions and investors to consider. So this paper on the basis of Merrill Lynch Investment clock theory. To be suitable for our market, the investment clock, to guide investors asset allocation in different economic cycle environment.
This paper first summarizes the research related to the economic cycle and asset allocation of the predecessors, and expounds the theory and method of the new clock. Then investment in China's economic environment, discusses the rationality of investment clock application, and through the analysis of the trend of economic operation in our country since 1994, the corresponding stages of a cycle division of different benefits of different categories of assets in the economic cycle stage was calculated. Then compare the investment clock theory and Merrill Lynch Investment clock in our economy. The combination of China's economic conditions on the perfected and improved.
The article is divided into five chapters. The first chapter is the introduction, introduces the background and significance of the study and related research. The second chapter is the largest category of assets and investment clock theory, discusses the types of research in asset classification standards, research ideas and methods of Merrill Lynch Investment clock theory proposed were summarized and concluded, for later research in this paper plays a supplementary role. The third chapter of our country market investment clock and asset allocation, is the study of China's market environment investment clock based on the above. Through the different stages of China's economic cycle, calculation and statistical analysis of the different stages of the different categories of asset returns the clock. Finally summed up the investment in the market of China Law and its comparison with traditional investment clock. The fourth chapter is the conclusion, on the basis of our market investment clock's own law, put forward the improvement method And suggestions to domestic investors asset allocation.

【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48

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