發(fā)布時(shí)間：2018-05-14 08:42

  本文選題：多階段金融資產(chǎn)配置 + 情景生成��； 參考：《東北大學(xué)》2012年碩士論文

【摘要】：在經(jīng)濟(jì)全球化、信息技術(shù)進(jìn)步以及衍生工具的開發(fā)等因素的推動(dòng)下,全球金融市場(chǎng)發(fā)生了巨大的變化。同時(shí),世界各國(guó)之間金融市場(chǎng)的聯(lián)系更為緊密,資金以及信息的流通效率也大幅度提高,使得金融市場(chǎng)呈現(xiàn)出前所未有的波動(dòng)性,風(fēng)險(xiǎn)管理越來越成為投資者資產(chǎn)配置的一個(gè)重要目的。本文在Carino多階段模型的基礎(chǔ)上加入CDaR風(fēng)險(xiǎn)度量方法,建立多階段金融資產(chǎn)配置模型,并選取2008年1月1日到2011年2月28日這38個(gè)月的活期存款利率、上證國(guó)債指數(shù)收益率、上證綜合指數(shù)收益率的數(shù)據(jù)作為樣本數(shù)據(jù)并進(jìn)行實(shí)證研究。 (1)引入CDaR方法,建立多階段金融資產(chǎn)配置模型。在Carino的多階段金融資產(chǎn)配置模型的基礎(chǔ)上,考慮了交易費(fèi)用以及CDaR風(fēng)險(xiǎn)度量方法,建立了多階段金融資產(chǎn)配置模型,并通過引入罰函數(shù)處理機(jī)制建立輔助問題,得到多階段的最優(yōu)資產(chǎn)配置策略。 (2)利用Matlab7.10程序,求解基于CDaR的多階段金融資產(chǎn)配置模型。本文立足于基于CDaR方法有交易費(fèi)用的多階段金融資產(chǎn)配置模型,運(yùn)用我國(guó)市場(chǎng)真實(shí)數(shù)據(jù),針對(duì)有交易費(fèi)用與無交易費(fèi)用、靜態(tài)規(guī)劃與動(dòng)態(tài)規(guī)劃這兩個(gè)維度對(duì)模型進(jìn)行實(shí)證研究,并考慮了投資者的不同風(fēng)險(xiǎn)偏好對(duì)模型結(jié)果的影響,補(bǔ)充了國(guó)內(nèi)關(guān)于CDaR方法在多階段金融資產(chǎn)配置方面研究的不足。 (3)通過靜態(tài)以及動(dòng)態(tài)金融資產(chǎn)配置模型的比較結(jié)果,得出動(dòng)態(tài)資產(chǎn)配置比靜態(tài)資產(chǎn)配置更靠近現(xiàn)實(shí)投資決策、更具有優(yōu)越性的結(jié)論。在靜態(tài)的條件下,投資者的資產(chǎn)配置會(huì)持續(xù)到期末。而在實(shí)際的資產(chǎn)配置活動(dòng)中,投資者的決策往往都是動(dòng)態(tài)的,他們會(huì)根據(jù)投資環(huán)境的變化適時(shí)的調(diào)整資產(chǎn)配置,以達(dá)到資產(chǎn)配置的最優(yōu)狀態(tài)。 (4)在靜態(tài)規(guī)劃以及動(dòng)態(tài)規(guī)劃這兩種情景下,考慮交易費(fèi)用這個(gè)摩擦因素對(duì)基于CDaR方法的金融資產(chǎn)配置模型的影響,得出交易費(fèi)用的金融資產(chǎn)配置具備一定程度的影響,并且在動(dòng)態(tài)規(guī)劃中交易費(fèi)用對(duì)金融資產(chǎn)配置的影響大于在靜態(tài)規(guī)劃條件下。
[Abstract]:Under the impetus of economic globalization, the progress of information technology and the development of derivatives, great changes have taken place in the global financial market. At the same time, the financial markets in the world are more closely linked, and the efficiency of the circulation of funds and information has been greatly improved, which has made the financial markets exhibit unprecedented volatility. Risk management is becoming an important purpose of investor asset allocation. Based on the Carino multi-stage model, this paper adds the CDaR risk measurement method, establishes the multi-stage financial asset allocation model, and selects the current deposit interest rate from January 1, 2008 to February 28, 2011, and the return rate of Shanghai Treasury bond index. Shanghai Composite Index return data as sample data and empirical research. 1) introducing CDaR method to establish multi-stage financial asset allocation model. On the basis of the multi-stage financial asset allocation model of Carino, considering the transaction cost and CDaR risk measurement method, the multi-stage financial asset allocation model is established, and the auxiliary problem is established by introducing penalty function processing mechanism. A multi-stage optimal asset allocation strategy is obtained. Using Matlab7.10 program to solve the multi-stage financial asset allocation model based on CDaR. This paper is based on the multi-stage financial asset allocation model with transaction cost based on CDaR method. Using the real market data of our country, this paper makes an empirical study on the two dimensions of transaction cost and non-transaction cost, static planning and dynamic programming. The influence of investors' different risk preference on the results of the model is considered, which complements the deficiencies of the domestic research on the multi-stage allocation of financial assets using CDaR method. 3) by comparing the static and dynamic financial asset allocation models, it is concluded that the dynamic asset allocation is closer to the real investment decision than the static asset allocation and has more advantages. Under static conditions, the investor's asset allocation will last until the end of the period. In the actual asset allocation activities, the investor's decision is always dynamic, they will adjust the asset allocation according to the change of the investment environment, in order to achieve the optimal state of asset allocation. 4) under the static planning and dynamic programming scenarios, considering the friction factor of transaction cost to the financial asset allocation model based on CDaR method, it is concluded that the transaction cost financial asset allocation has a certain degree of influence. The effect of transaction cost on the allocation of financial assets in dynamic programming is greater than that in static planning.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.5;F224

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