本文選題：對(duì)沖基金 + 投資組合新構(gòu)架　； 參考：《上海金融》2011年02期

【摘要】：本文在分析傳統(tǒng)的投資對(duì)沖基金組合架構(gòu)存在不足的基礎(chǔ)上,提出了新的資產(chǎn)組合構(gòu)架模型,并從理論上論證了對(duì)沖基金為何不是一個(gè)純粹超額收益的制造者而更多是一個(gè)風(fēng)險(xiǎn)溢價(jià)的提供者以及將對(duì)沖基金與傳統(tǒng)資產(chǎn)有機(jī)整合到一起的好處。然后用Cornish—Fisher伸展式對(duì)新的資產(chǎn)組合進(jìn)行分析,證明了新架構(gòu)的合理性,并用歐美市場(chǎng)的數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)。本研究為對(duì)沖基金投資者提供了新的操作范式。
[Abstract]:Based on the analysis of the shortcomings of the traditional hedge fund portfolio architecture, a new portfolio architecture model is proposed in this paper.It also demonstrates theoretically why hedge funds are not pure producers of excess returns but more providers of risk premiums and the advantages of integrating hedge funds with traditional assets.Then the new portfolio is analyzed with Cornish-Fisher extension, and the rationality of the new structure is proved, and the empirical test is carried out with the data of European and American markets.This study provides a new operating paradigm for hedge fund investors.
【作者單位】： 上海國(guó)際集團(tuán)博士后工作站;摩根斯坦利(倫敦)對(duì)沖基金部;
【分類號(hào)】：F224;F830.59

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