本文選題：資產(chǎn)配置 + 在險(xiǎn)價(jià)值��； 參考：《復(fù)旦大學(xué)》2014年博士論文

【摘要】：由于金融衍生品在2008年之失控造成金融次貸危機(jī),很多知名企業(yè)與投資人受到很大傷害,對(duì)社會(huì)與經(jīng)濟(jì)發(fā)展都造成很大不良影響,而金融風(fēng)險(xiǎn)測(cè)量工具能否正確評(píng)估風(fēng)險(xiǎn)也受到很大質(zhì)疑,許多投資組合理財(cái)商品,在風(fēng)險(xiǎn)發(fā)生時(shí)也只有投資分散并沒有分散風(fēng)險(xiǎn),至今仍留下很多問題未解。風(fēng)暴是否會(huì)再來,我們是很難去預(yù)測(cè),我們能做的就是既使風(fēng)暴再來,我們不會(huì)再受到很大損失而影響生活與造成社會(huì)不安,如何能在風(fēng)險(xiǎn)發(fā)生時(shí)減少損失不受傷害,大概只有正識(shí)投資風(fēng)險(xiǎn)之重要,進(jìn)而在我們的投資組合能有對(duì)沖風(fēng)險(xiǎn)之機(jī)制才能逢兇化吉,而這個(gè)機(jī)制之重要元素為金融衍生品。本文以投資風(fēng)險(xiǎn)管理之微觀角度,探討金融衍生品之性質(zhì),如何識(shí)別投資資產(chǎn)風(fēng)險(xiǎn)特征,如何運(yùn)用風(fēng)險(xiǎn)測(cè)量工具與正確評(píng)估資產(chǎn)風(fēng)險(xiǎn),來建造一個(gè)具有風(fēng)險(xiǎn)管理之投資組合,而投資組合也正因?yàn)榻鹑谘苌分茈U(xiǎn)功能,得予充分投資分散風(fēng)險(xiǎn)分散,讓整個(gè)投資組合效率前緣在不同景氣階段都能向左移動(dòng),達(dá)成可能風(fēng)險(xiǎn)降低同時(shí)收益也改善之最佳境界。自1952年Markwitz之投資組合理論與J.P Morgan之RiskmetricsVaR問世以來相關(guān)研究運(yùn)用相當(dāng)豐富,本文雖然運(yùn)用這些傳統(tǒng)理論,但研究中加入許多新元素與新思維,同時(shí)在許多不同在險(xiǎn)價(jià)值估計(jì)方法與績(jī)效評(píng)量指標(biāo)運(yùn)用,也得到一些較深入之見解。本文第一部份介紹風(fēng)險(xiǎn)管理之概念、資產(chǎn)風(fēng)險(xiǎn)特征檢驗(yàn)、資產(chǎn)的風(fēng)險(xiǎn)測(cè)量工具之運(yùn)用、金融衍生品之性質(zhì)與其在投資風(fēng)險(xiǎn)管理之可運(yùn)用交易策略。第二部份為實(shí)證部份,分析加入金融衍生品于投資組合后之收益風(fēng)險(xiǎn)與績(jī)效評(píng)估影響,以不同在險(xiǎn)價(jià)值估計(jì)運(yùn)用于投資組合中,并評(píng)估不同資產(chǎn)屬性使用不同在險(xiǎn)價(jià)值估計(jì)運(yùn)用于投資組合之影響。在績(jī)效評(píng)估之變量不僅是方差之風(fēng)險(xiǎn)低估,連收益本身都存在不確定風(fēng)險(xiǎn),因此考慮以不同風(fēng)險(xiǎn)估計(jì)值取代方差,同時(shí)將收益扣除風(fēng)險(xiǎn)預(yù)測(cè)值后之可能最小收益取代收益變量作為資產(chǎn)評(píng)估,而后考慮不同景氣階段的風(fēng)險(xiǎn)性資產(chǎn)與風(fēng)險(xiǎn)管控衍生品之權(quán)重比例,最后建置一個(gè)集風(fēng)險(xiǎn)性資產(chǎn),非風(fēng)險(xiǎn)性債券資產(chǎn)與風(fēng)控衍生品商品、VaR估計(jì)與投資組合理論之投資組合模型,以信息技術(shù)將數(shù)學(xué)公式導(dǎo)入于規(guī)劃分析模型,以利快速應(yīng)變調(diào)整不同風(fēng)險(xiǎn)階段之投資風(fēng)險(xiǎn)比例權(quán)重。透過這個(gè)研究,我們得到許多之發(fā)現(xiàn)如下：1.VaR風(fēng)險(xiǎn)預(yù)測(cè)值與風(fēng)險(xiǎn)發(fā)生時(shí)跌幅有高度正相關(guān),也就是VaR愈大,未來風(fēng)險(xiǎn)發(fā)生時(shí)跌幅成正比,VaR愈小相對(duì)跌幅也會(huì)小,這在2008年與2000年股災(zāi)都有這樣的現(xiàn)象。2.以VaR取代風(fēng)險(xiǎn)(標(biāo)準(zhǔn)偏差),而且不同資產(chǎn)屬性使用不同VaR估計(jì)方法,將未來可能收益扣除未來可能最大風(fēng)險(xiǎn)后之可能最小收益率取代收益率,來作為MV(Mean-Variance)計(jì)算,在短期上漲趨勢(shì)中會(huì)犧牲一些利益,卻可以減少風(fēng)險(xiǎn)發(fā)生時(shí)的損失,因而可以得到具有風(fēng)險(xiǎn)管控之長(zhǎng)期投資組合良好績(jī)效。3.在投資組合資產(chǎn)評(píng)估指標(biāo),在MV效率前緣曲線上加上夏普指標(biāo)之條件,夏普指標(biāo)收益與風(fēng)險(xiǎn)變量如同前述修正,加入有避險(xiǎn)功能之基金,可以得到良好的風(fēng)控機(jī)制之投資組合資產(chǎn)配置,同時(shí)也更能發(fā)揮金融衍生品之避險(xiǎn)功能。4.VaR可以作事前之資產(chǎn)選項(xiàng)與評(píng)估,同時(shí)有助于建立事后之風(fēng)險(xiǎn)管理預(yù)警系統(tǒng),有助于提早發(fā)現(xiàn)問題作為防范.透過本研究,體會(huì)投資風(fēng)險(xiǎn)管理最大問題,并非理論工具之限制不足,而是欠缺正確風(fēng)險(xiǎn)識(shí)別、正確風(fēng)險(xiǎn)估計(jì)與正確衍生品運(yùn)用之管理機(jī)制,而欠缺這個(gè)風(fēng)控機(jī)制,正是我們極需正視的地方,因?yàn)轱L(fēng)暴是還會(huì)再來的。
[Abstract]:Due to the financial subprime mortgage crisis caused by financial derivatives in 2008, many well-known enterprises and investors have been greatly hurt and have great adverse effects on the social and economic development, and whether the financial risk measurement tools can correctly assess the risk has also been greatly questioned. Many investment portfolio management goods are only when the risk occurs. It is hard to predict whether the storm will come again. What we can do is to make the storm come again, we will not suffer a lot of loss and affect life and social unrest, and how to reduce the loss unhurt when the risk occurs. It is probably only a positive investment. The importance of investment risk, and then the mechanism of our portfolio can have hedging risk, and the important element of the mechanism is financial derivatives. This paper, based on the micro angle of investment risk management, discusses the nature of financial derivatives, how to identify the characteristics of the risk of investment assets, how to use the risk measurement tool and correct evaluation. To estimate the risk of assets, to build a portfolio of risk management, and the portfolio is also due to the risk avoidance function of financial derivatives, which should be fully invested and dispersed, allowing the efficiency of the entire portfolio to move left at different stages of the boom, and to achieve the best possible risk reduction and improvement of the profit. From 19. The 52 year Markwitz investment portfolio theory and the J.P Morgan RiskmetricsVaR have been widely used since the introduction of these theories. Although these traditional theories have been used, many new elements and new thinking are added to the study. At the same time, some more in-depth views have been obtained in the application of many different methods of value estimation and performance evaluation. The first part of this paper introduces the concept of risk management, the test of asset risk characteristics, the use of asset risk measurement tools, the nature of financial derivatives and their applicable trading strategies in the management of investment risk. The second part is the empirical part of the analysis of the impact of the income risk and performance evaluation after the investment portfolio is added to the financial derivatives. Different risk value estimates are used in the portfolio and evaluate the impact of different asset attributes using different risk values in the portfolio. In performance evaluation, the variable is not only an underestimation of the risk of variance, and even the income itself has an uncertain risk. Therefore, the variance is replaced by the estimated value of different risks and the earnings are deducted. The potential minimum income instead of the income variable is considered as an asset evaluation, and then the weight ratio of risk assets and risk management derivatives at different stages is considered, and a portfolio of risk assets, non risk bond assets and wind controlled derivatives, VaR estimation and portfolio theory are set up. The model, using the information technology to import the mathematical formula into the planning analysis model, in order to quickly adjust the proportion weight of investment risk in different risk stages. Through this study, we get a lot of findings as follows: the 1.VaR risk prediction value is closely related to the risk when the risk occurs, that is, the larger the VaR, the future risk occurs. In direct proportion, the smaller the relative decline will be, the smaller the VaR will be, this phenomenon in 2008 and 2000 has such a phenomenon that.2. replaced risk with VaR (standard deviation), and the different asset attributes use different VaR estimates to replace the possible minimum yield after the possible future possible income deducted from the possible future maximum risk as MV (Mean-Variance). In the short term, some interests will be sacrificed in the short term rising trend, but the loss of risk can be reduced. Therefore, a long-term portfolio good performance.3. with risk control can be obtained in the portfolio asset evaluation index, the conditions of SHARP index are added to the MV efficiency front curve, and the SHARP index returns and risk variables are like the foregoing. With the addition of the hedge fund, we can get a good investment portfolio allocation of the wind control mechanism, and also give full play to the hedge function.4.VaR of financial derivatives as an asset option and assessment in advance, and help to establish an ex post risk management early warning system and help to find out the problems as a precaution. In this study, the biggest problem of investment risk management is not the limitation of the theoretical tools, but the lack of the correct risk identification, the correct risk estimation and the management mechanism of the use of the correct derivatives, and the lack of the wind control mechanism, which is the place we need to face, because the wind and storm will come again.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5

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