本文關(guān)鍵詞：基于均值方差模型的國(guó)際分散化投資組合模型及其實(shí)證分析　出處：《河南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 均值-方差模型 資產(chǎn)定價(jià)模型 套利定價(jià)模型 相關(guān)系數(shù) 有效區(qū)域

【摘要】：近年來(lái),隨著金融市場(chǎng)全球化的迅猛發(fā)展,國(guó)際資本、信息技術(shù)以及國(guó)際證券投資的自由流動(dòng),分散化投資組合已經(jīng)越來(lái)越多的獲得投資者的青睞,共同探討國(guó)際多元化的股票投資組合也在金融領(lǐng)域成為一個(gè)學(xué)術(shù)研究的熱門話題。根據(jù)投資的基本理論,投資者可以構(gòu)建證券的多元化投資組合,以達(dá)到降低投資風(fēng)險(xiǎn)的作用,而國(guó)際多元化投資組合可以進(jìn)一步分散風(fēng)險(xiǎn),因?yàn)椴煌瑖?guó)家的股票之間的相關(guān)性比一個(gè)國(guó)家內(nèi)股票之間的相關(guān)性低得多。 本文從理論層面全面回顧和總結(jié)了投資組合理論,資產(chǎn)組合的單一周期理論,即靜態(tài)的投資組合理論,并在對(duì)靜態(tài)投資組合理論進(jìn)行系統(tǒng)分析的基礎(chǔ)上,深入的了解和探討投資組合理論。作者認(rèn)為,構(gòu)建最高效的投資組合的關(guān)鍵在于處理好投資組合中風(fēng)險(xiǎn)與收益之間的關(guān)系。最高效的投資組合必定能夠做到一定預(yù)定收益率要求下實(shí)現(xiàn)風(fēng)險(xiǎn)最小化或者一定風(fēng)險(xiǎn)的約束條件下實(shí)現(xiàn)利益最大化。本文中,作者不但對(duì)均值-方差投資組合模型、單一指數(shù)下的投資組合模型和最優(yōu)投資組合的有效區(qū)域進(jìn)行了深入的探討,還用數(shù)學(xué)公式和實(shí)證分析闡述了資本資產(chǎn)定價(jià)理論和套利定價(jià)理論的前提條件和模型推導(dǎo)。 本文從微觀分析入手,探討了投資者在構(gòu)建投資組合的過(guò)程中如何確定有效區(qū)域、如何確定投資對(duì)象之間的相關(guān)性以期降低投資風(fēng)險(xiǎn),從而實(shí)現(xiàn)期望效用最大化,并揭示了風(fēng)險(xiǎn)與收益的內(nèi)在關(guān)系,系統(tǒng)分析了Markowitz的資產(chǎn)組合理論,以及存在無(wú)風(fēng)險(xiǎn)資產(chǎn)和賣空約束條件下的資產(chǎn)組合問(wèn)題。 此外,本文還著重探討了投資組合分析的基本問(wèn)題——有效邊界問(wèn)題。作者介紹了在不允許賣空的條件下如果確定投資組合的有效區(qū)域,并演示了如何推理出投資組合的有效邊界。 本文還選取了全球主要的資本市場(chǎng)(上海,深圳,美國(guó),英國(guó),香港,日本)為研究對(duì)象,用股票價(jià)格指數(shù)的漲跌表示該資本市場(chǎng)的平均收益率。以各主要資本市場(chǎng)1998年至2013年間股指的年度平均收益率為原始數(shù)據(jù),以四年為一個(gè)觀測(cè)周期,對(duì)各個(gè)主要資本市場(chǎng)收益率之間的相關(guān)系數(shù)進(jìn)行實(shí)證分析和數(shù)據(jù)分析。通過(guò)對(duì)16年間各主要資本市場(chǎng)股指平均收益率的研究和統(tǒng)計(jì)分析,我們可以對(duì)滬深股市之間收益率的相關(guān)系數(shù)以及滬深股市與全球其他主要資本市場(chǎng)收益率之間的相關(guān)系數(shù)有一個(gè)直觀的了解。我國(guó)資本市場(chǎng)內(nèi)部,即滬深股市之間的相關(guān)系數(shù)相較于滬深股市與全球其他資本市場(chǎng)收益率之間的相關(guān)系數(shù)明顯處于高位,這就說(shuō)明了,僅僅在相關(guān)性較高的滬深股市進(jìn)行資產(chǎn)投資,是無(wú)法有效分散非系統(tǒng)性風(fēng)險(xiǎn)的,同時(shí),盡管面臨著全球經(jīng)濟(jì)一體化帶來(lái)的資本市場(chǎng)收益率之間相關(guān)性的增強(qiáng),在全球資本市場(chǎng)構(gòu)建分散化投資組合模型仍然可以更好的分散投資組合的非系統(tǒng)性風(fēng)險(xiǎn),從而更好的滿足投資者對(duì)風(fēng)險(xiǎn)與收益率的需求。此外,我們通過(guò)計(jì)算出各主要資本市場(chǎng)之間的相關(guān)性與方差(風(fēng)險(xiǎn)),可以得出基于某一預(yù)期收益率約束條件下的最優(yōu)投資組合。并通過(guò)對(duì)全球各主要資本市場(chǎng)之間的相關(guān)性分析,得出結(jié)論,目前在全球市場(chǎng)上進(jìn)行分散投資組合依然有分散風(fēng)險(xiǎn)的空間。 此外,通過(guò)觀察全球各資本市場(chǎng)收益率之間相關(guān)系數(shù)的數(shù)據(jù),我們發(fā)現(xiàn),在經(jīng)濟(jì)呈下行態(tài)勢(shì)的時(shí)候,全球資本市場(chǎng)的相關(guān)性會(huì)增強(qiáng),也就是說(shuō),全球資本市場(chǎng)傾向于面臨同樣的低收益率和更高的非系統(tǒng)風(fēng)險(xiǎn),在這種情況下,分散性投資組合會(huì)面臨更高的風(fēng)險(xiǎn),而分散風(fēng)險(xiǎn)的難度將會(huì)加大。 但是,本文同樣指出,一方面,本文進(jìn)行實(shí)證研究的數(shù)據(jù)均為事后數(shù)據(jù),不具有預(yù)測(cè)性,另一方面,本文沒(méi)有將本幣升值的風(fēng)險(xiǎn)考慮在內(nèi),而對(duì)于中國(guó)投資者來(lái)說(shuō),本幣在未來(lái)很長(zhǎng)一段時(shí)間內(nèi)將保持升值的趨勢(shì)。鑒于此,投資者在全球資本市場(chǎng)進(jìn)行分散組合投資的時(shí)候面臨的風(fēng)險(xiǎn)可能比本文分析得出的結(jié)論高。
[Abstract]:In recent years, with the rapid development of the globalization of financial market, international capital, information technology and the free flow of international securities investment, diversification of investment portfolio has been more and more favored by investors, to discuss the stock portfolio of international diversification has become a hot topic of academic research in the field of finance. According to the basic theory of investment diversification. Portfolio investors can establish the securities, in order to reduce the investment risk, and international portfolio diversification can spread the risk further, because the correlation between different countries shares than the correlation between the stock of a country is much lower.
This paper reviews from the theoretical level and summarizes the portfolio theory, single period portfolio theory, investment portfolio theory is static, and on the basis of systematic analysis of the static portfolio theory, in-depth understanding and study of portfolio theory. The author thinks that the key to build the most efficient portfolio is good relationship between risk and return of the portfolio. The most efficient portfolio will be able to achieve maximum benefit and constraint conditions of predetermined rate of return under the requirements of a certain risk or minimize the risk. In this paper, the author not only on the mean variance model of portfolio investment, the effective area of single index model and optimal portfolio the portfolio is discussed, with mathematical analysis and empirical formula describes the capital asset pricing theory and arbitrage pricing theory before Conditions and model derivation.
This article from the micro analysis of investors, discusses how to determine the effective area in the process of building a portfolio of investment, how to determine the correlation between objects in order to reduce the risk of investment, so as to achieve the expected utility maximization, and reveals the inherent relationship between risks and benefits, the system analysis of the Markowitz's portfolio theory, and there is no risk short selling constraints of assets and the assets portfolio.
In addition, this paper also focuses on the basic problem of portfolio analysis -- the effective boundary problem. The author introduces how to determine the effective area of portfolio and how to deduce the effective boundary of portfolio if it is not allowed to sell short.
The paper also selected major global capital markets (Shanghai, Shenzhen, the United States, Britain, Hongkong, Japan) as the research object, with the change of stock price index represents the average income of the capital market. The annual average return rate in the main capital market from 1998 to 2013 the index rate of original data in four years a period of observation, through empirical analysis and data analysis of the correlation coefficient between each of the major capital market return rate. Through research and statistical analysis of the 16 major capital market stock index average rate of return, we can have an intuitive understanding of the correlation coefficient between Shanghai and Shenzhen stock market returns of Shanghai and Shenzhen as well as between the stock market and the other major global capital market return rate. The correlation coefficient of the internal capital market in our country, the correlation coefficient between the Shanghai and Shenzhen stock market compared to the Shanghai and Shenzhen stock markets and other global capital market The correlation coefficient between the rate was high, which means that only in the high correlation between the Shanghai and Shenzhen stock assets, is unable to effectively disperse the non system risk, at the same time, despite the increase of global economic integration brings capital market yields, non system risk construct diversified investment portfolio model in the global capital market can still diversify better, so as to better meet the investors for the risk and yield requirements. In addition, we calculate the correlation and variance between the main capital market (risk), it can be based on an expected rate of return of optimal portfolio under constraints. And through the analysis of and on the correlation between the major global capital market concluded, is currently in the global market for portfolio diversification is still a risk free Between.
In addition, through the observation of the correlation coefficient between the global capital market yields data, we found that when the economy was in a downward trend, the correlation of the global capital market will increase, that is to say, the global capital markets tend to face non system risk the same low yields and higher, in this case, dispersion investment portfolio will face higher risk, and risk diversification will increase the difficulty.
However, this paper also pointed out that, on the one hand, this paper makes an empirical study on the data after the data, not predictive, on the other hand, the risk of currency appreciation will not be taken into account, and for China investors, will maintain the trend of appreciation of currency in the future for a long period of time. In view of this, investors in the global capital market when dispersed portfolio risk may be higher than the conclusion of this paper.

【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F831.6

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