系统性偏度约束下的积极投资组合管理模型的研究

发布时间：2018-01-30 10:18

本文关键词： 系统性偏度积极组合管理跟踪误差 S-TEV模型　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：投资组合管理一直都是金融机构、学术界的重大课题.在不同的市场假设条件形成两大类型的风格投资:消极型和积极型;消极型的投资组合管理认为市场是有效的,只要简单地按照市场指数分散投资就能实现投资目标.但是越来越多的实证表明,市场并非是完全有效的,积极型的投资组合管理认为市场上存在被错误定价的证券,通过积极的择券和择时就有可能战胜市场,积极型资产管理者通过跟踪事先设定的基准组合,期望赢得超额收益.进行积极投资组合管理时,具有代表性的模型是均值-TEV模型,很多学者在这个模型的基础上增加一些约束条件,从不同的角度研究积极投资组合管理问题,在这些学者研究的基础上,本文从另外一个角度出发,引入了系统偏度约束条件,即在构建投资组合管理模型时,考虑金融资产收益率的更高阶阶矩以及收益率的尖峰厚尾的特性,大量的研究表明金融资产具有不对称性,忽略来自偏态分布的左尾风险有时会导致严重的金融事件,而系统偏度可以刻画收益率风险的非对称性,所以考虑系统偏度约束对于积极投资组合管理具有重要的应用价值.本文基于均值-TEV模型,提出了一种新的积极型投资组合管理模型:系统偏度约束的跟踪误差方差模型.本文对该模型进行求解,得到了最优组合和投资组合前沿,并分析组合前沿的特征.另外,本文对该模型相对于传统模型的效率损失进行了研究,探讨了如何减少效率损失.最后,实证分析比较加入系统偏度参数约束的投资组合与基准组合的业绩,并和其它模型进行对比,研究表明,选取适当的系统偏度约束的组合累计收益率高于市场指数和基准组合,系统偏度约束的投资组合模型比M-V模型和均值-TEV模型具有更优的表现.
[Abstract]:Portfolio management has always been a major issue for financial institutions and academia. In different market assumptions, there are two types of investment styles: negative and positive; Passive portfolio management believes that the market is efficient, as long as simply according to the market index diversification can achieve investment objectives. But more and more empirical evidence shows that the market is not completely effective. Active portfolio management believes that there are mispriced securities in the market, and it is possible to beat the market by actively selecting securities and timing, and active asset managers can track the pre-set benchmark portfolio. In the process of active portfolio management, the representative model is the mean-TEV model. Many scholars add some constraints on the basis of this model. The active portfolio management problem is studied from different angles. Based on the research of these scholars, this paper introduces the constraint condition of system bias from another angle, that is, in the construction of portfolio management model. Considering the higher order moment of financial asset return and the characteristic of sharp and thick tail, a lot of research shows that financial assets have asymmetry. Ignoring the left-tail risk from skew distribution can sometimes lead to serious financial events, and the system bias can describe the asymmetry of yield risk. Therefore, considering the system bias constraints has an important application value for active portfolio management. This paper is based on the mean-TEV model. In this paper, a new active portfolio management model, the tracking error variance model with system bias constraints, is proposed. In this paper, the optimal portfolio and portfolio frontier are obtained. In addition, this paper studies the efficiency loss of the model compared with the traditional model, and discusses how to reduce the efficiency loss. The empirical analysis compares the performance of portfolio and benchmark portfolio with system bias parameter constraints, and compared with other models, the study shows that. The cumulative return rate of the portfolio with appropriate system bias constraints is higher than that of the market index and the benchmark portfolio. The portfolio model with the system bias constraint has better performance than the M-V model and the mean-TEV model.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F830.59

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