风险框架下开放式基金稳健投资模式探析

发布时间：2018-03-03 08:40

本文选题：开放式基金　切入点：风险　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国市场经济的发展和对外开放的扩大,我国的证券投资基金产业将有广阔的发展前景。2004年《国务院关于推进资本市场改革开放和稳定发展的若干意见》中指出,要继续大力发展证券投资基金；同年《证券投资基金法》及其六个配套法规正式实施,进一步表明我国的基金业面临着良好的、快速的发展时期。与此同时,基金的发展壮大,对其投资理念也提出了新的要求,稳健投资,作为追求稳定回报和回避市场风险的一种投资风格,越来越受到基金管理公司的重视和采纳。稳健投资,随着证券市场的成熟和投资者对风险、收益的特殊要求,必将成为今后主导市场的一种有效的投资模式。然而对于稳健投资,虽然多有提起,但一直局限于回避风险的表层概念上。在证券投资领域,虽然稳健投资原则得到绝大多数投资者的认同,但至今还只是停留在理念的阶段,没有形成其丰富的研究体系。因此本文尝试性对此进行了研究。首先概述了投资基金和投资组合的基本理论,然后在“均值一方差”模型的基础上引入“流动性”因素,在综合考虑收益、风险和流动性三方面对投资组合的影响下,探索了稳健型投资模式的构建,并利用股市数据作了实证分析。
[Abstract]:With the development of China's market economy and the expansion of its opening to the outside world, China's securities investment fund industry will have broad prospects for development. In 2004, the State Council pointed out in the State Council's views on promoting the reform and opening up of the capital market and the steady development of the capital market. It is necessary to continue to vigorously develop securities investment funds; in the same year, the Securities Investment Fund Law and its six supporting laws and regulations were formally implemented, which further shows that the fund industry in China is facing a good and rapid development period. At the same time, the development of the fund has grown stronger and stronger. As a kind of investment style of pursuing stable return and avoiding market risk, it has been paid more and more attention to and adopted by fund management companies. With the maturity of the securities market and the special requirements of investors for risk and return, it will become an effective investment mode for the dominant market in the future. However, it has been confined to the superficial concept of risk avoidance. In the field of securities investment, although the principle of sound investment has been recognized by the vast majority of investors, it has so far only remained in the conceptual stage. There is no rich research system. Therefore, this paper tries to study this problem. Firstly, the basic theory of investment fund and portfolio is summarized, and then the "liquidity" factor is introduced on the basis of the "mean difference" model. Considering the influence of return, risk and liquidity on the portfolio, this paper explores the construction of a robust investment model, and makes an empirical analysis by using stock market data.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】