本文關鍵詞： 全球化資產配置 DCC-GJR-GARCH模型 動態(tài)聯(lián)動性分析 聚類分析 均值-CVaR模型　出處：《河北師范大學》2017年碩士論文　論文類型：學位論文

【摘要】：國際化資產配置既可以降低國家層面的風險,又可以對沖掉某些特質風險。經(jīng)濟的全球化、政策的開放、財富的積累、投融資渠道的拓寬,讓更多的投資者有機會參與到國際資本市場的投資。投資者,尤其是資產高凈值的投資者或機構投資者,要達到穩(wěn)健增值的目標,更需要通過合理的海外資產配置,降低自身資產與國內資產間的相關性來獲得穩(wěn)健收益。本文以股票市場為例,研究基于全球不同市場、不同行業(yè)間動態(tài)聯(lián)動性分析的國際化最優(yōu)資產配置策略。全文共分六部分,主要內容如下:引言中介紹了研究背景及意義,梳理了國內外相關研究文獻,提出了本文的研究內容、研究思路、重點難點及創(chuàng)新點等。第二部分介紹了全球股票市場聯(lián)動性分析的理論基礎與相關模型。較為主流的分析市場間聯(lián)動效應的理論有經(jīng)濟基礎假說和市場傳染假說;相關模型有單變量和多變量GARCH族模型。通過對模型的分析,確定適合分析中國股票市場與國際股票市場間動態(tài)聯(lián)動性的模型——DCC-GJR-GARCH模型。第三部分基于“市場分散化策略”,構建DCC-GJR-GARCH模型分析中國股票市場的國際聯(lián)動性,依據(jù)各國(地區(qū))市場間的動態(tài)相關關系,篩選出適合投資的國際股票市場。第四部分基于“行業(yè)分散化策略”,以均值、方差、偏度、峰度及中位數(shù)這五個描述行業(yè)收益率分布的特征為聚類指標,對篩選出的國際股票市場分行業(yè)進行聚類分析,選擇各項指標表現(xiàn)均較好的類中的股票進入資產池。第五部分利用均值-CVaR模型控制投資風險,實現(xiàn)資產的國際化最優(yōu)配置,并從構建的四個典型投資組合中挑選出最具優(yōu)勢的組合,與業(yè)績基準進行樣本外滾動窗口對比,進一步驗證本文提出的資產最優(yōu)配置策略的有效性。第六部分總結了本文的主要工作,并對未來研究做出展望。
[Abstract]:The international asset allocation can not only reduce the risk at the national level, but also hedge against some special risks, such as the globalization of economy, the opening of policy, the accumulation of wealth, and the widening of investment and financing channels. Let more investors have the opportunity to participate in the international capital market investment. Investors, especially those with high net worth or institutional investors, should achieve the goal of steady increase in value. It is more necessary to obtain stable returns by rational overseas asset allocation and reduce the correlation between their own assets and domestic assets. This paper takes the stock market as an example to study the different markets around the world. The paper is divided into six parts. The main contents are as follows: the introduction introduces the research background and significance, combs the domestic and foreign related research literature. Put forward the research content of this paper, research ideas. The second part introduces the theoretical basis and related models of the linkage analysis of global stock market. The main theories to analyze the intermarket linkage effect are the hypothesis of economic base and the hypothesis of market contagion. ; There are univariate and multivariable GARCH family models. The DCC-GJR-GARCH model, which is suitable for analyzing the dynamic interaction between the Chinese stock market and the international stock market, is determined. The third part is based on the "market decentralization strategy". The DCC-GJR-GARCH model is constructed to analyze the international linkage of Chinese stock market, according to the dynamic correlation between the countries (regions). Selected suitable international stock market. 4th based on the "industry diversification strategy", with the mean, variance, skewness, kurtosis and median to describe the distribution of industry returns for the five characteristics of clustering indicators. Cluster analysis of the selected international stock market by industry, select the better performance of the various categories of stocks into the asset pool. 5th part of the use of the mean value-CVaR model to control investment risk. To achieve the optimal allocation of assets internationally, and select the most advantageous portfolio from the four typical investment portfolios, and compare with the performance benchmark outside the sample rolling window. Further verify the effectiveness of the proposed optimal asset allocation strategy. Part 6th summarizes the main work of this paper and prospects for future research.
【學位授予單位】：河北師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F831.51

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本文編號：1485969