本文關(guān)鍵詞：證券投資中的資產(chǎn)配置決策研究　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券投資基金 資產(chǎn)配置決策 資產(chǎn)配置類別 配置流程

【摘要】：證券投資基金是證券市場(chǎng)最為主要的機(jī)構(gòu)投資者,資產(chǎn)配置、擇時(shí)和證券選擇是投資組合管理常用的三種工具,其中對(duì)于長(zhǎng)期投資來(lái)說(shuō),資產(chǎn)配置的影響最為重大。所謂資產(chǎn)配置即把種類各異的資產(chǎn)所能獲取的利潤(rùn)與投資者的風(fēng)險(xiǎn)偏好聯(lián)系在一起,在一定的風(fēng)險(xiǎn)水平上構(gòu)造出最佳的投資組合。資產(chǎn)配置之所以被認(rèn)為是長(zhǎng)期投資回報(bào)的主要決定因素,是由于良好的資產(chǎn)配置可以大大降低基金投資的風(fēng)險(xiǎn),并且能夠有效地控制極端投資損失發(fā)生的可能性。由此可見(jiàn),證券投資基金管理的本質(zhì)就是在優(yōu)化資產(chǎn)配置、建立有效的投資組合的基礎(chǔ)上,通過(guò)合理地控制和分散風(fēng)險(xiǎn)來(lái)取得長(zhǎng)期超額的收益。 然而就目前來(lái)看,我國(guó)仍缺乏通過(guò)資產(chǎn)配置來(lái)降低證券投資風(fēng)險(xiǎn)的能力,基金機(jī)構(gòu)在股市中表現(xiàn)不佳,美國(guó)金融危機(jī)爆發(fā)以來(lái)中國(guó)股市更是大幅下跌,導(dǎo)致中國(guó)基金行業(yè)遭受了慘重的損失。因而關(guān)于證券投資基金資產(chǎn)配置決策的研究,對(duì)于我國(guó)合格機(jī)構(gòu)投資者的發(fā)展以及證券市場(chǎng)安全穩(wěn)定地運(yùn)行都具有重要的現(xiàn)實(shí)意義。 本文主要包括資產(chǎn)配置基本理論、資產(chǎn)配置的實(shí)踐、資產(chǎn)配置的案例三個(gè)部分。 第一部分為資產(chǎn)配置基本理論。首先分析了投資者的生命周期、投資者的流動(dòng)性需求與資產(chǎn)的流動(dòng)性特征、資本市場(chǎng)環(huán)境、投資期限以及稅收對(duì)證券投資基金資產(chǎn)配置的影響。在此基礎(chǔ)上具體闡述了證券投資基金資產(chǎn)配置的步驟,主要包括制定投資目標(biāo)、選擇資產(chǎn)類別、確定組合的標(biāo)準(zhǔn)配置比例、選擇投資方式、配置再平衡五個(gè)部分。 第二部分揭示了我國(guó)目前證券投資基金資產(chǎn)配置的現(xiàn)狀。首先通過(guò)闡述美國(guó)投資者投資模式的變化,說(shuō)明了隨著時(shí)代的發(fā)展、經(jīng)濟(jì)環(huán)境的變化,投資者的投資模式也在逐步改善。其次對(duì)保險(xiǎn)公司、社保基金、主權(quán)基金三類在實(shí)踐中真正實(shí)施資產(chǎn)配置操作的機(jī)構(gòu)證券投資基金資產(chǎn)配置的情況進(jìn)行了詳盡分析,以此說(shuō)明,所有資產(chǎn)類別都有經(jīng)濟(jì)環(huán)境偏好。某種資產(chǎn)在某些經(jīng)濟(jì)環(huán)境下會(huì)表現(xiàn)得很好,在其它經(jīng)濟(jì)環(huán)境下會(huì)表現(xiàn)不佳。所以在投資實(shí)務(wù)中,由于不同的投資者面臨的經(jīng)濟(jì)環(huán)境不同,不同投資者的資產(chǎn)配置偏好也完全不同。 第三部分以具體的保險(xiǎn)公司作為案例,詳細(xì)說(shuō)明了證券投資基金資產(chǎn)配置的決策過(guò)程。首先總體上闡述了保險(xiǎn)公司證券投資基金資產(chǎn)配置的主要程序以及政策等內(nèi)容。之后以某具體保險(xiǎn)公司為例,加入具體的數(shù)字,詳細(xì)說(shuō)明了其資產(chǎn)配置的程序、策略以及進(jìn)行資產(chǎn)配置時(shí)所考慮的因素。通過(guò)對(duì)保險(xiǎn)公司證券投資基金資產(chǎn)配置的詳細(xì)闡述可以使人們對(duì)于證券投資基金資產(chǎn)配置有一個(gè)更加具體形象的理解。 本文的創(chuàng)新點(diǎn)在于綜合已有證券投資學(xué)等理論,總結(jié)了相關(guān)大類資產(chǎn)的不同特點(diǎn),辨析了不同種類資產(chǎn)的風(fēng)險(xiǎn)與收益期望之間的關(guān)系,區(qū)分了宏觀、中觀資產(chǎn)配置決策方法,分析了大類資產(chǎn)配置與相關(guān)學(xué)科(宏觀經(jīng)濟(jì)學(xué)、組合投資學(xué)等)之間的關(guān)系,為證券投資中的資產(chǎn)配置決策提供了重要的理論依據(jù)。選擇對(duì)證券投資中的資產(chǎn)配置決策進(jìn)行研究,正是考慮到了我國(guó)當(dāng)前基金發(fā)展的現(xiàn)狀和前景,希望本文的研究成果能夠使人們對(duì)證券投資資產(chǎn)配置有一個(gè)更加全面深刻的了解,更加重視對(duì)于證券投資資產(chǎn)配置研究,同時(shí)也希望對(duì)我國(guó)投資基金行業(yè)的發(fā)展起到一定的借鑒作用。
[Abstract]:Securities investment fund is the stock market is the most important institutional investors, asset allocation, market timing and stock selection is the portfolio management of three kinds of commonly used tools, which for long-term investments, asset allocation is the most important influence. The so-called profit and investors asset allocation of different kinds of assets that can obtain the risk preference relation together, in a certain level of risk on the construction of optimal portfolio. Asset allocation is considered the main decision factors of long-term investment returns, the risk is due to a good asset allocation can greatly reduce the fund investment, and can effectively control the probability of extreme loss. Thus, the essence of management of securities investment fund is the optimization of asset allocation, the establishment of an effective investment portfolio based on the reasonable control and risk diversification to achieve long-term super The income of the amount.
However, at present, our country still lacks the ability to reduce the risk of securities investment funds through asset allocation, poor performance in the stock market in the United States since the outbreak of the financial crisis, the stock market is China fell sharply, leading to Chinese fund industry suffered heavy losses. So the decision on the asset allocation of security investment fund research, to have important practical significance to development of our qualified institutional investors and the stock market safe and stable operation.
This paper mainly includes the basic theory of asset allocation, the practice of asset allocation, and three parts of the case of asset allocation.
The first part is the basic theory of asset allocation is analyzed. Investors life cycle, liquidity characteristics and asset liquidity needs of investors, the capital market environment, the investment period and the effects of Taxation on securities investment fund asset allocation. On the basis of elaborated the securities investment fund asset allocation steps, including the development of investment targets selection, asset classes, determine the proportion of the combination of standard, choice of investment, rebalancing the configuration of five parts.
The second part reveals the present situation of the securities investment fund asset allocation. Firstly, by describing the changes of American investors investment model, that with the development of the times, the change of economic environment, investment mode is gradually improving. Secondly, insurance companies, pension funds, sovereign funds three categories of asset allocation in the real implementation of the operation in the practice of the institution of securities investment fund asset allocation carried out detailed analysis, in order to explain, all asset classes have economic environment preferences. Some assets will perform well in certain economic environment, in other economic environment will underperform. So in the investment practice, because investors face different economic environment different asset allocation preference of different investors are completely different.
The third part of the specific insurance company as a case, a detailed description of the decision making process of securities investment fund asset allocation. Firstly, elaborate the insurance company main program of securities investment fund asset allocation and policy content. After taking a specific insurance company as an example, the addition of specific numbers, a detailed description of its asset allocation program the factors considered, strategy and asset allocation. Through a detailed description of the insurance companies securities investment fund asset allocation can make people have a more specific understanding of the image of the securities investment fund asset allocation.
The innovation of this paper is combined with the existing securities investment theory, summarizes the different characteristics of the relevant categories of assets, analyzes the relationship between different types of asset risk and earnings expectations, the distinction between the macro, meso asset allocation decision method, analyzes the categories of asset allocation and related disciplines (macro economics, portfolio investment etc. the relationship between), provides an important theoretical basis for asset allocation of securities investment. For the research on the selection of asset allocation of securities investment, considering the present situation and Prospect of China's current development fund, hope that this research can make people have a more comprehensive and profound understanding the asset securitization investment allocation, pay more attention to the research on asset allocation of securities investment, but also hope to make some contribution to the development of China's investment fund industry.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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