【摘要】：資產(chǎn)配置是指根據(jù)投資需求將投資資金在不同資產(chǎn)類別之間進行分配,一般是在綜合衡量各資產(chǎn)的風(fēng)險與收益情況下,將投資資金在各種可配置資產(chǎn)之間進行合理分配,以達到投資收益的相對最大化。資產(chǎn)配置理論是現(xiàn)代投資組合理論的重要組成部分,對投資者的實際投資績效也有決定性的影響,因此,是投資者(尤其是機構(gòu)投資者)投資決策過程中需要考慮的主要因素。證券投資基金資產(chǎn)配置過程是指基金管理人如何在可投資資產(chǎn)之間進行長期資金分配,以及如何根據(jù)市場短期變化動態(tài)調(diào)整組合資產(chǎn)比例的過程,資產(chǎn)配置是證券投資基金資產(chǎn)運作過程中的核心環(huán)節(jié)。我國證券投資基金由于起步比較晚、發(fā)展時間相對較短,同時對資產(chǎn)配置策略應(yīng)用的重視程度還不是很高,對資產(chǎn)配置策略的認(rèn)識還很不足。因此,投資者將資產(chǎn)配置策略靈活有效利用到投資實踐以指導(dǎo)投資的情況就顯得比較匱乏。為了能使我國證券投資基金能夠健康的發(fā)展,更為了能夠促進中國資本投資市場更加完善,本文基于資產(chǎn)配置策略在我國證券投資基金(開放式基金)中的適用性實證分析,將對目前國際上和行業(yè)內(nèi)較為流行的資產(chǎn)配置策略進行闡述,以便闡釋資產(chǎn)配置策略的重要意義進而引起投資者的重視。 本文概述了資產(chǎn)配置理論基本框架,包括馬柯維茨均值-方差模型、哈洛下偏距風(fēng)險模型以及風(fēng)險價值模型等基本理論基礎(chǔ),并分別分析了三種理論應(yīng)用的前提假設(shè)條件和使用環(huán)境。在上述理論模型的基礎(chǔ)上,按照學(xué)術(shù)上比較常用的分類方法,作者將資產(chǎn)配置策略分為戰(zhàn)略性資產(chǎn)配置策略和戰(zhàn)術(shù)性資產(chǎn)配置策略,然后分別探討了戰(zhàn)略性資產(chǎn)配置策略和戰(zhàn)術(shù)性資產(chǎn)配置策略的含義和操作上的特點。之后,本文分析了證券投資基金資產(chǎn)配置策略的影響因素和我國證券投資基金的發(fā)展現(xiàn)狀。通過構(gòu)造實證變量,作者分別選取了同一只基金的時間序列收益數(shù)據(jù)和不同基金績效的橫截面數(shù)據(jù),分析論證了戰(zhàn)略資產(chǎn)配置策略、戰(zhàn)術(shù)資產(chǎn)配置中的選時和選股因素對我國證券投資基金收益率變化的貢獻度。本文選取了我國40只開放式基金作為樣本基金,通過收集、計算和整理相關(guān)數(shù)據(jù),分別數(shù)量化分析了戰(zhàn)略資產(chǎn)配置策略和戰(zhàn)術(shù)資產(chǎn)配置策略中的選時因素對同一只基金沿時間變化的收益率差異的貢獻度大小。另外,在考慮各組合資產(chǎn)下偏距風(fēng)險(半方差)情況下,實證研究了戰(zhàn)略性資產(chǎn)配置和選時因素共同對我國不同基金收益率差異的解釋程度。通過回歸分析,本文得出結(jié)論：戰(zhàn)略性資產(chǎn)配置策略可以解釋大約83.53%的同一只基金收益率隨時間的變化,戰(zhàn)術(shù)性資產(chǎn)配置中的選時因素可以解釋1.26%的同一只基金收益變化,其貢獻度相對與戰(zhàn)略資產(chǎn)配置較�。辉谝牖鹗找嫦缕囡L(fēng)險情況下,對于不同基金的綜合績效差異,回歸結(jié)果顯示戰(zhàn)略資產(chǎn)配置和選時可以共同貢獻大約40.57%的績效差異,其余的不同基金績效差異可以由其他因素解釋,例如基金規(guī)模的大小、基金經(jīng)理人自身素質(zhì)的高低、散戶基金投資者的投資偏好等。本文實證結(jié)論與國際上較早出現(xiàn)的相關(guān)經(jīng)典文獻研究結(jié)論具有相似性,說明了資產(chǎn)配置策略在我國證券投資基金中也具有廣泛的適用性,機構(gòu)投資者應(yīng)該對資產(chǎn)配置策略的應(yīng)用重視起來。 本文選擇證券投資基金(開放式基金)作為資產(chǎn)配置策略的研究對象,是看重基金在我國經(jīng)濟、金融中的重要地位以及其廣闊的發(fā)展前景,也由于資產(chǎn)配置策略在基金投資中的具有廣泛應(yīng)用空間。通過對我國證券投資基金資產(chǎn)配置策略的實證分析,本文指出了我國證券投資基金資產(chǎn)配置未來發(fā)展的趨勢,并結(jié)合我國證券投資基金自身的現(xiàn)狀以及我國資本市場自身的特點,提出一些針對性的建議,希望能對我國證券投資基金的發(fā)展起到一定的指導(dǎo)作用。 本文的創(chuàng)新點主要體現(xiàn)在研究方法的運用和數(shù)據(jù)變量選取的操作手段上。在研究方法的運用上,作者通過引入下偏距風(fēng)險構(gòu)造基金綜合績效評價指標(biāo)顯示了本文在研究方法上的創(chuàng)新,這主要是考慮到不能僅僅通過收益率大小來衡量基金績效,而應(yīng)該綜合考慮基金的投資風(fēng)險因素。本文還有在實證指標(biāo)及變量選取等操作上的創(chuàng)新,例如,選擇上證綜合指數(shù)和深證綜合指數(shù)收益率的平均值作為相應(yīng)的組合資產(chǎn)中股票的收益率；除了看到基金投資股票和債券資產(chǎn)外,作者還融入了以無風(fēng)險利率來衡量其收益的其他貨幣類資產(chǎn)作為基金配置資產(chǎn)的一部分。這些創(chuàng)新點在操作上更能與現(xiàn)實情況吻合,因為我們知道,基金在配置股票資產(chǎn)投資時時除了選擇上海證券交易所上市的股票,還選擇深圳證券交易所的股票,用兩個證券交易所指數(shù)比較符合實際。另外,基金投資組合的資產(chǎn)選擇中還有很大的比例是貨幣性資產(chǎn),因此,將貨幣類資產(chǎn)納入本文實證研究的考察對象更能夠使結(jié)論實際情況向符合,使結(jié)論更具有實現(xiàn)有效性和適用性。上述的創(chuàng)新之處都是為了使本文研究能夠與現(xiàn)實情況更好的吻合,達到分析結(jié)果能更有效、更真實地反映資產(chǎn)配置策略對我國證券投資基金的貢獻大小,以便為我國證券投資基金提供更好的指引。 本文結(jié)構(gòu)可以分為五部分：第1章為導(dǎo)論,包括論文選題背景,文獻綜述和本文研究主要內(nèi)容的簡介；第2章介紹資產(chǎn)配置的基本理論內(nèi)容,包括馬柯維茨均值-方差模型、哈洛下偏距風(fēng)險模型和風(fēng)險價值理論模型；第3章闡述證券投資基金資產(chǎn)配置的含義及影響因素,包括基金資產(chǎn)配置的含義和特點、資產(chǎn)配置的對象以及影響資產(chǎn)配置策略決策使用的影響因素；第4章介紹資產(chǎn)配置策略對我國證券投資基金績效差異的實證分析,分別數(shù)量化分析了資產(chǎn)配置策略對同一只基金收益率隨時間變化的貢獻度和對不同基金績效差異的解釋程度；第5章為結(jié)論部分,包括本文研究的創(chuàng)新點和不足之處,并指出我國證券投資基金資產(chǎn)配置未來的發(fā)展趨勢和方向。
[Abstract]:Asset allocation theory is an important part of modern portfolio theory .

This paper gives an overview of the basic framework of asset allocation theory , including the basic theoretical foundation of the Maccowitz mean - variance model , the inferior offset risk model and the risk value model . The paper analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy , and analyzes the influence factors of strategic asset allocation strategy and tactical asset allocation strategy .
The empirical conclusions of this paper are similar to the conclusions of the relevant classical literature studies which have appeared earlier in the world . The conclusion of this paper is similar to the conclusion of the relevant classical literature studies which have appeared earlier in the world . The empirical conclusions of this paper have broad applicability in China ' s securities investment funds , and the institutional investors should attach importance to the application of asset allocation strategies .

This paper chooses the securities investment fund ( open fund ) as the research object of the asset allocation strategy , it is the important position of the trust fund in our country ' s economy and finance and its broad prospect , also because of the extensive application space of the asset allocation strategy in the fund investment . Through the empirical analysis of the asset allocation strategy of our country ' s securities investment fund , this paper points out the trend of the future development of the asset allocation strategy of our country ' s securities investment fund , and puts forward some specific suggestions in combination with the present situation of our country ' s securities investment fund itself and the characteristics of our capital market itself , and hopes that it can play a certain guiding role in the development of our country ' s securities investment fund .

The innovation points of this paper are mainly embodied in the application of the research method and the operation method of the data variable selection . In the application of the research method , the author shows the innovation in the research method by introducing the comprehensive performance evaluation index of the lower offset risk structure fund , which mainly takes into consideration that the investment risk factor of the fund cannot be measured only by the yield size , but also the innovation in the operation such as the empirical index and the variable selection , etc . , for example , the average value of the yield of the Shanghai Composite Index and the Shenzhen Composite Index is selected as the yield of the stock in the corresponding combined asset .
Besides seeing the fund investment stocks and the bond assets , the author also incorporates the other monetary assets that measure their earnings as part of the fund ' s allocation of assets at riskless interest rates . These innovation points are more efficient and practical in terms of operation , because we know that the fund is more effective and more applicable than the stock exchange index . In addition , it can make the conclusion more effective and more effective . The above innovations are more effective and more realistic to reflect the contribution of asset allocation strategies to our country ' s securities investment funds , so as to provide better guidance for our country ' s securities investment fund .

The structure of this paper can be divided into five parts : Chapter 1 is the introduction , including the background of the thesis selection , the literature review and the introduction of the main contents of this paper ;
Chapter 2 introduces the basic theory contents of asset allocation , including the Maccowitz ' s mean - variance model , the downside risk model and the risk value theory model .
Chapter 3 expounds the meaning and influencing factors of the asset allocation of the securities investment fund , including the meaning and characteristics of the fund asset allocation , the object of the asset allocation and the influencing factors that affect the decision - making use of the asset allocation policy ;
In chapter 4 , an empirical analysis of the performance difference between asset allocation strategy and fund performance is introduced , and the contribution degree of asset allocation strategy to the same fund yield over time and the degree of interpretation of different fund performance difference are analyzed .
Chapter 5 is the conclusion part , including the innovation points and shortcomings of the research , and points out the future trend and direction of the asset allocation of our country ' s securities investment fund .
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

【引證文獻】

相關(guān)碩士學(xué)位論文 前3條

1 李粲;HY公司大類資產(chǎn)配置績效評價研究[D];鄭州大學(xué);2016年

2 陳晴;全國社會保障基金戰(zhàn)略資產(chǎn)配置優(yōu)化研究[D];河北大學(xué);2014年

3 毛娜;戰(zhàn)略資產(chǎn)配置在我國中小壽險公司的應(yīng)用研究[D];西南財經(jīng)大學(xué);2014年

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本文編號：2131846