基于蒙特卡洛模拟的分级基金定价有效性研究

发布时间：2018-03-12 09:01

  本文选题：分级基金　切入点：蒙特卡洛模拟　出处：《南京大学》2017年硕士论文　论文类型：学位论文

【摘要】：分级基金是指主要依据所投资产品的不同风险与收益,将其净资产或收益进行分解。我国分级基金主要有两类份额,优先类份额和进取类份额,它的主要特点是"收益分级,风险分级",不同风险偏好的投资者都能各取所需。分级基金最主要的投资价值在与它的可交易性,以及所提供的价格杠杆。分级基金可以进行拆分,由于其产品设计上的特性,其交易性质非常显著。在分级基金的发展过程中,越来越多的投资者倾向于选择多样化的杠杆设计产品。对于投资者、机构管理者及监管者来说,分级基金的定价有助于实现各自的利益需求,达成多方共赢。因为在基金市场上,现有的基金品种和资产配置存在一定问题,难以实现需求,因而分级基金作为新型产品加入,其强大的交易性,让基金市场更丰富,同时产品多元化的提升也使市场更加活跃。尽管近两年,监管层多次对分级基金的管理提出新要求,比如提高分级基金的门槛,但其依然具备融资成本低,追踪标的广,并且涵盖了很多热门投资方向的重要特点。本文通过比较选取了可以克服路径依赖性的蒙特卡洛模拟方法,选择了运行时间3年以上的基金,挑选其中有典型特征的6只,分别对其母基金净值,A、B份额价格进行理论定价,并与实际价格对比,发现B份额的模拟拟合度较高,同时回归分析的相关性较好。A份额的模拟则无法反应市场价格走势,进一步研究中也发现,实际价格杠杆与标的指数波动率,对模拟拟合度的优劣几乎没有影响。在我国金融市场的发展过程中,杠杆类产品的重要性渐趋提升。对分级基金这一典型产品的定价及产品设计要素研究对其他产品的发展有重要的借鉴意义。本文希望通过研究给未来其他杠杆类产品的定价提供依据,并且在产品设计要素的影响方面给出参考,后续研究可以继续探讨除了杠杆倍数和标的资产波动率以外的其他因素。
[Abstract]:Classified fund refers to the decomposition of net assets or income according to the different risks and returns of the invested products. There are two kinds of shares in the classified funds in our country, which are priority shares and enterprising ones. Its main characteristic is income classification. "risk rating," in which investors with different risk preferences can get what they want. The most important value of a graded fund is its tradeability and the price leverage it provides. The hierarchical fund can be split up because of its product design characteristics. The nature of the transaction is very significant. In the development of hierarchical funds, more and more investors tend to choose a variety of leveraged design products. For investors, institutional managers and regulators, The pricing of graded funds helps to realize their respective interests and achieve win-win results. Because in the fund market, there are some problems in the existing fund varieties and asset allocation, it is difficult to meet the demand, so graded funds are added as a new product. Its strong tradeability makes the fund market richer, and the diversification of products also makes the market more active. Although in the past two years, regulators have repeatedly put forward new requirements for the management of classified funds, such as raising the threshold for graded funds. However, it still has the characteristics of low financing cost, wide tracking target, and covers many popular investment directions. In this paper, Monte Carlo simulation method, which can overcome path dependence, is selected by comparison. In this paper, six funds with typical characteristics are selected, and six of them are selected to price the net value of their parent funds, and compared with the actual prices, it is found that the simulation fitting degree of B share is higher than that of the real ones. At the same time, the correlation of regression analysis is good. The simulation of .A share can not reflect the market price trend. Further study also found that the actual price leverage and the volatility rate of the underlying index. In the course of the development of China's financial market, The importance of leverage products is gradually increasing. The research on pricing and product design elements of classified funds is of great significance to the development of other products. This paper hopes to give further research to other lever classes in the future. The price of the product provides the basis, The paper also gives some references on the influence of product design elements, and further studies can continue to explore other factors other than leverage multiple and underlying asset volatility.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：O242.2;F832.51
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本文编号：1600874