發(fā)布時(shí)間：2019-06-12 18:43

【摘要】：指數(shù)化投資是被動(dòng)投資管理領(lǐng)域中最重要的投資策略之一,廣泛用于指數(shù)基金及其它機(jī)構(gòu)投資者的資產(chǎn)管理.作為指數(shù)化投資的具體管理形式,指數(shù)跟蹤技術(shù)得到了現(xiàn)代投資組合理論的有力支持,越來越多地引起了學(xué)術(shù)界和金融業(yè)界的重視. 選擇合適的復(fù)制方法是指數(shù)跟蹤的核心問題.本文結(jié)合了因素模型和均值-方差模型的思想,提出了帶基數(shù)約束的多因素指數(shù)跟蹤模型.我們利用多因素模型來刻畫股票的收益,以市場(chǎng)組合的貝塔值為基準(zhǔn),對(duì)跟蹤組合貝塔值進(jìn)行控制的同時(shí)最小化投資組合的風(fēng)險(xiǎn),得到兩種多因素指數(shù)跟蹤模型.考慮到實(shí)際投資需要,我們?cè)谀Ｐ椭幸敫櫧M合規(guī)模約束和持有量約束,所得模型等價(jià)于混合0-1二次規(guī)劃問題.為了更快求解該模型,我們從原問題的拉格朗日對(duì)偶出發(fā),利用錐優(yōu)化理論獲得一類改進(jìn)的混合0-1二次規(guī)劃等價(jià)模型.數(shù)值試驗(yàn)表明,新等價(jià)模型在計(jì)算效率方面具有較明顯的優(yōu)勢(shì).為說明多因素跟蹤模型的實(shí)際表現(xiàn),我們利用中國(guó)滬深300指數(shù)的真實(shí)數(shù)據(jù)構(gòu)建了3個(gè)目標(biāo)指數(shù),并將該模型與均值-方差指數(shù)跟蹤模型進(jìn)行了比較分析.基于滬深300指數(shù)的實(shí)證跟蹤結(jié)果表明,我們的指數(shù)跟蹤模型能夠產(chǎn)生較優(yōu)的跟蹤組合,并且具有很好的準(zhǔn)確性和靈活性.最后,我們綜合考慮了跟蹤投資組合的絕對(duì)風(fēng)險(xiǎn)和相對(duì)風(fēng)險(xiǎn),對(duì)多因素指數(shù)跟蹤模型進(jìn)行進(jìn)一步推廣,并對(duì)推廣后的模型進(jìn)行實(shí)證分析. 本文總共分為六章,第一章介紹了被動(dòng)投資管理與指數(shù)化投資方法.第二章介紹了指數(shù)跟蹤的研究成果和基本的模型,如均值-方差指數(shù)跟蹤模型,均值-絕對(duì)偏差指數(shù)跟蹤型和單因素指數(shù)跟蹤模型等.第三章重點(diǎn)介紹了帶基數(shù)約束的多因素指數(shù)跟蹤模型及其求解方法.在第四章中,我們基于中國(guó)證券市場(chǎng)的歷史數(shù)據(jù)對(duì)多因素指數(shù)跟蹤模型進(jìn)行實(shí)證分析.在第五章中,我們將探討推廣后的多因素指數(shù)跟蹤模型并進(jìn)行實(shí)證分析.第六章是結(jié)論部分,是對(duì)本文內(nèi)容的總結(jié)以及對(duì)未來研究的展望.
[Abstract]:Indexed investment is one of the most important investment strategies in the field of passive investment management, which is widely used in the asset management of index funds and other institutional investors. As the specific management form of indexed investment, index tracking technology has been strongly supported by modern portfolio theory, and has attracted more and more attention from academia and financial circles. Choosing the appropriate replication method is the core problem of exponential tracking. Based on the idea of factor model and mean-variance model, a multi-factor exponential tracking model with cardinality constraint is proposed in this paper. We use the multi-factor model to depict the return of the stock. Based on the beta value of the market portfolio, we control the beta value of the tracking portfolio while minimizing the risk of the portfolio, and obtain two kinds of multi-factor index tracking models. Considering the actual investment needs, we introduce the tracking portfolio size constraint and holding constraint into the model, and the obtained model is equivalent to the mixed 0 鈮，

本文編號(hào)：2498221