基于优化复制法的黄金ETF组合构建研究

发布时间：2018-01-14 06:26

本文关键词：基于优化复制法的黄金ETF组合构建研究　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：从全球基金业的发展历程看，海外各个投资管理公司纷纷抢占被动产品市场以扩大自己的资产管理规模。被动产品在中国虽然起步较晚，但凭借其低费率、高透明度的特点得到了迅速发展，中国近几年来以交易所交易基金（ETF）为代表的被动产品在数量以及规模上均呈现爆发式增长，但相比增长迅速的股票ETF，，黄金ETF迟迟未能在中国推出。主要源于其产品设计的一系列障碍，包括跨市场障碍、跟踪误差障碍等。其中，最为关键的障碍来自于被动产品竞争力的核心——跟踪误差。本文研究的最终目的就是通过合理的复制方式来尽可能拟合黄金走势，为黄金ETF的产品设计者提供参考。本文共分五个章节，各章节内容简介如下：第一章主要介绍研究的背景以及意义。第二章介绍黄金ETF的发展、优势，并对其在国内发展障碍进行分析，得出国内黄金ETF发展的障碍为法律障碍以及跟踪误差控制。第三章介绍了本文所应用的方法模型。指出优化复制法是黄金ETF指数较好的选择。第四章基于第三章的理论基础，以AU99.95为实物标的，构建完全复制组合以及优化复制组合2大类共计3种模拟组合进行实证检验比较。第五章总结与展望。总结全文的研究结论，提出不足。
[Abstract]:From the development of the global fund industry, the overseas investment management companies have to seize the passive product market to expand their scale of asset management products in the China. Passive although late, but by virtue of its low rate, high transparency has been developing rapidly in recent years, China in exchange traded funds (ETF) passive products as the representative of the showed explosive growth in quantity and scale, but compared to the rapid growth of the stock of ETF, gold ETF the delay in the launch. China comes mainly from the product design of a series of obstacles, including cross market disorder, the tracking error problems. Among them, the most key obstacles come from passive products competitiveness: tracking error. The ultimate purpose of this study is to fit as much as possible the gold trend by copying the reasonable, provide a reference for the gold ETF product designers.
This article is divided into five chapters, and the contents of each chapter are as follows:
The first chapter mainly introduces the background and significance of the study.
The second chapter introduces the development and advantages of gold ETF, and analyzes its development obstacles in China, and draws the conclusion that the obstacles to the development of gold ETF are legal obstacles and tracking error control.
The third chapter introduces the method model used in this paper. It is pointed out that the optimal replication method is a better choice for the gold ETF index.
The fourth chapter, based on the theoretical basis of the third chapter, takes AU99.95 as the object object, and constructs 2 replicate combinations and 2 replicate combinations.
The fifth chapter summarizes the conclusion and prospects, summarizes the research conclusions of the full text, and puts forward the shortcomings.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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