本文選題：BEYR　切入點(diǎn)：Markov機(jī)制轉(zhuǎn)換　出處：《國際貿(mào)易問題》2017年03期 　論文類型：期刊論文

【摘要】：本文以2006年5月至2016年1月的中美兩國債券-股票收益比(BondEquity Yield Ratio,BEYR)為樣本,對(duì)基于BEYR的動(dòng)態(tài)資產(chǎn)配置策略的可行性進(jìn)行實(shí)證分析。使用Markov機(jī)制轉(zhuǎn)換模型對(duì)BEYR所處機(jī)制概率進(jìn)行預(yù)測,以此組建股票/債券動(dòng)態(tài)轉(zhuǎn)換組合并對(duì)組合業(yè)績進(jìn)行回測。結(jié)果表明,與任意股票/債券靜態(tài)組合相比,Markov轉(zhuǎn)換組合的業(yè)績明顯占優(yōu),也優(yōu)于基于其他幾個(gè)可選模型的動(dòng)態(tài)轉(zhuǎn)換組合的業(yè)績。
[Abstract]:This paper takes BondEquity Yield RatioBEYR from May 2006 to January 2016 as a sample. The feasibility of dynamic asset allocation strategy based on BEYR is empirically analyzed. The probability of BEYR mechanism is forecasted by using Markov mechanism transformation model, and the stock / bond dynamic conversion portfolio is constructed and the performance of portfolio is measured back. Compared with any static stock / bond portfolio, the performance of Markov transformation portfolio is superior to that of dynamic conversion combination based on several other optional models.
【作者單位】： 對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)國際經(jīng)濟(jì)貿(mào)易學(xué)院;全國社會(huì)保障基金理事會(huì)養(yǎng)老金管理部;中國農(nóng)業(yè)銀行信用管理部;
【分類號(hào)】：F224;F831.5
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本文編號(hào)：1567903