本文關鍵詞： 資產(chǎn)配置 文化行業(yè) 有效前沿 積極配置 信息預測　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：本文針對我國A股文化板塊的資產(chǎn)配置進行系統(tǒng)地研究,行業(yè)基金的出現(xiàn)給予在行業(yè)層面上配置一定啟發(fā)。文化板塊具有特殊性,一方面針對本身具有高風險高收益的特征,一方面針對市場具有非周期非防御性的特征,因此要投資于文化板塊,一方面需要考慮對文化板塊風險進行控制,本文是通過交運倉儲行業(yè)作為代表的周期性板塊、公共事業(yè)行業(yè)作為代表的防御性板塊和以生物醫(yī)藥為代表的成長性板塊對文化板塊進行組合配置,以控制文化板塊的風險,實際應用中,對行業(yè)基金分散風險而進行組合有較大借鑒意義；另一方面通過在文化板塊內(nèi)部積極配置,以獲得在一定殘余風險下最大的殘余收益,以期充分分享文化企業(yè)的成長性收益,獲取超過文化板塊指數(shù)的收益。本文在均值方差體系下,完成對各板塊的最優(yōu)配置和文化板塊內(nèi)個股的最優(yōu)配置,并通過歷史數(shù)據(jù)得出了我國上市文化板塊如何進行最優(yōu)配置。歷史并不能代表未來,在文化產(chǎn)業(yè)上有充分的反映,使用歷史的數(shù)據(jù)進行分析總會對文化產(chǎn)業(yè)未來的收益預測產(chǎn)生偏差,因此需要對未來的收益率進行預期。在戰(zhàn)略性資產(chǎn)配置方面,是根據(jù)文化產(chǎn)業(yè)政策對歷史數(shù)據(jù)進行修正,在積極配置方面,是根據(jù)投資者獲得的信息和預測能力來對歷史數(shù)據(jù)進行修正。 本文研究發(fā)現(xiàn),通過構建投資組合相對于單獨投資于文化板塊能明顯降低風險,為了控制風險又能獲取收益最低對文化板塊的配置應在15%-20%之間,大于50%的文化板塊配置只需與生物醫(yī)藥板塊的構成組合能控制風險獲取高回報,而73.7%的文化板塊和26.3%的生物醫(yī)藥板塊配置在沒有最低條件限制的情況下能達到夏普比率的最大化,要獲得高收益,需要增加在文化板塊上的配置權重。最低比例的文化板塊的限制會帶來有效邊界向右移動,帶來高風險,這時的最優(yōu)配置也是在文化板塊大于50%的權重加上一定權重的生物醫(yī)藥板塊,即使是有限制條件的最優(yōu)配置形成的有效邊界效率也高于滬深300指數(shù)。 在文化板塊內(nèi)部的積極配置通過始終保持與市場共同的系統(tǒng)性風險的前提下來進行殘余收益一定下的殘余風險最小化,研究發(fā)現(xiàn)這個最優(yōu)組合是由兩個特征組合構成的,并通過信息比率來建立積極型邊界。同時還通過對各股超額收益的因素分析發(fā)現(xiàn)影響顯著因子的是經(jīng)營區(qū)域范圍,以此作為其中一個信息來源,構建對超額收益α的預測。
[Abstract]:This paper makes a systematic study on asset allocation of A-share culture plate in China, and the emergence of industry funds gives some inspiration to the allocation at the industry level. On the one hand, the cultural plate has its particularity, on the one hand, it has the characteristics of high risk and high income. On the one hand, the market has the characteristics of non-periodic non-defensive, so to invest in the cultural sector, on the other hand, we need to consider the risk control of the cultural plate, this paper is through the transportation and warehousing industry as the representative of the cyclical plate, The defensive plate represented by the public utility industry and the growth plate represented by biomedicine are combined with the cultural plate to control the risk of the cultural plate. On the other hand, we can get the maximum residual income under a certain residual risk by actively allocating in the cultural plate, in order to fully share the growth income of cultural enterprises. In this paper, the optimal allocation of each plate and the optimal allocation of individual stocks in the cultural plate are completed under the mean variance system. And through the historical data, we can find out how to make the best allocation of the listed culture plate in our country. History can not represent the future, and it is fully reflected in the cultural industry. The use of historical data for analysis always leads to deviations from future earnings forecasts for cultural industries, so it is necessary to anticipate future returns. In terms of strategic asset allocation, historical data are revised according to cultural industry policies. In terms of positive allocation, historical data are revised based on the information and predictive power available to investors. In this paper, we find that the risk can be significantly reduced by constructing a portfolio, and the allocation of the cultural sector should be between 15% and 20% in order to control the risk and gain the lowest income. More than 50% of the cultural sector configuration only need to be combined with the biomedical sector to control the risk to achieve high returns, And 73.7% of the cultural sector and 26.3% of the biomedical sector can maximize Sharp's ratio without minimum conditionalities, in order to achieve high returns. There is a need to increase the allocation weight on the culture plate. The lowest proportion of the cultural plate restrictions can lead to the effective boundary moving to the right, which brings high risk. The optimal allocation is also in the biomedical plate where the weight of the cultural plate is greater than 50% plus a certain weight. Even the efficient boundary efficiency of the optimal allocation with restricted conditions is higher than that of the CSI 300 index. Under the premise of keeping the common systemic risk with the market, the residual risk is minimized under the premise of the positive disposition within the culture plate. The study found that the optimal combination is composed of two characteristic combinations. At the same time, through the analysis of the factors of excess return of each stock, it is found that the significant factor is the scope of business area, which is one of the information sources to construct the prediction of excess return 偽.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;G124

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