黄金作为独特资产配置类别的作用

发布时间：2018-03-11 21:23

本文选题：黄金投资　切入点：资产配置　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：黄金在人类的金融发展史中一直扮演着重要的角色，然而在布雷顿森林体系解体后黄金的货币功能正式退出了历史舞台，黄金随后在金融市场中的作用一直被视为普通大宗商品品类的一种。2007年的金融危机将市场的热点又聚焦到了黄金在金融市场中应该扮演如何的角色。本文对于黄金是否应该作为一种独特的资产配置类别进行了探讨，通过黄金市场的基本情况分析以及黄金与其他金融资产的相关性研究和波动性比较，得出了在进行资产组合管理时黄金应该被视为一种独特的资产类别。与此同时，本文在分析黄金现货价格、股票指数、美国国债的收益风险和相关性的基础上，进一步的实证比较了含有黄金和不含有黄金的资产组合之间的表现差异，，量化地证明了黄金对于资产组合表现提升的作用。最后本文对于黄金在资产配置中的比例选取以及对中国机构投资者的借鉴意义提出了一些看法。
[Abstract]:Gold has always played an important role in the history of human financial development. However, after the disintegration of the Bretton Woods system, the monetary function of gold formally withdrew from the historical stage. The subsequent role of gold in financial markets has been seen as a common commodity category. The financial crisis of 2007 focused the hot spot of the market on the role that gold should play in the financial market. Whether Jin should be considered as a unique asset allocation category, Based on the basic situation analysis of gold market and the correlation study and volatility comparison of gold and other financial assets, it is concluded that gold should be regarded as a unique asset class in portfolio management. Based on the analysis of the spot price of gold, the stock index and the yield risk and correlation of US Treasury bonds, this paper further empirically compares the performance differences between the portfolio containing gold and those without gold. Finally, this paper puts forward some views on the selection of the proportion of gold in asset allocation and the reference significance for Chinese institutional investors.
【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】：F830.94

【共引文献】