本文選題：對沖基金 + 對沖策略��； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：對沖基金在國際上尤其是歐美已經(jīng)發(fā)展了很多年，而在中國對沖策略的運(yùn)用還處于起步階段。隨著中國金融業(yè)的快速發(fā)展、金融創(chuàng)新的推進(jìn)、金融衍生品的進(jìn)一步豐富，中國對沖基金的快速發(fā)展將是大勢所趨。 本文論述了在國內(nèi)對沖基金以及金融創(chuàng)新大發(fā)展的背景下，，設(shè)立對沖策略基金FOF的必要性，對對沖策略FOF的投資理念、配置策略以及基金選擇的方法等進(jìn)行了理論和實(shí)證的論述。本文以國內(nèi)對沖基金的實(shí)證數(shù)據(jù)為基礎(chǔ)，運(yùn)用上述方法初步選出4只傳統(tǒng)股票型私募基金和3只對沖策略私募基金，構(gòu)建了模擬組合。該FOF組合在實(shí)證數(shù)據(jù)測試中績表現(xiàn)突出，同時(shí)風(fēng)險(xiǎn)收益比相對較高，能夠在很大程度上達(dá)到設(shè)立對沖策略基金FOF的目的。
[Abstract]:Hedge funds have been developed internationally, especially in Europe and the United States for many years, and the use of hedge strategies in China is still in its infancy. With the rapid development of China's financial industry, the promotion of financial innovation, the further enrichment of financial derivatives, the rapid development of Chinese hedge funds will be the general trend. Under the background of the development of domestic hedge funds and financial innovation, this paper discusses the necessity of setting up hedge strategy fund FOF, and the investment concept of hedge strategy FOF. The allocation strategy and the method of fund selection are discussed theoretically and empirically. Based on the empirical data of domestic hedge funds, this paper preliminarily selects four traditional equity private equity funds and three hedge strategy private equity funds by using the above method, and constructs a simulation combination. The performance of the FOF portfolio is outstanding in the empirical data test, and the risk-return ratio is relatively high, which can achieve the purpose of setting up the hedge strategy fund FOF to a great extent.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 夏曉燕;曹慧;;對沖基金投資策略及基金風(fēng)險(xiǎn)收益分析[J];財(cái)會(huì)月刊;2012年23期

2 曾長興;;對沖基金、對沖策略以及市場中性[J];南方金融;2012年01期

本文編號(hào)：1860017