本文關鍵詞： 小波分析 ICAPM 風險價值 小波方差　出處：《西南財經大學》2014年碩士論文　論文類型：學位論文

【摘要】：小波分析是當前應用數學和工程學科中一個迅速發(fā)展的新領域,經過近10年的探索研究,重要的數學形式化體系已經建立,理論基礎更加扎實。與Fourier變換相比,小波變換是空間(時間)和頻率的局部變換,因而能有效地從信號中提取信息。通過伸縮和平移等運算功能可對函數或信號進行多尺度的細化分析,解決了Fourier變換不能解決的許多困難問題。小波變換聯系了應用數學、物理學、計算機科學、信號與信息處理、圖像處理、地震勘探等多個學科。在八十年代末,小波分析的應用開始涉及金融領域。經濟周期、股票市場、外匯市場的多尺度分解等,小波分析提供了新的思路。隨著中國金融市場的逐漸完善,交叉學科間的應用需求迫切,小波分析的應用領域更加廣泛。 在本文中,我們推導出ICAPM模型在時間尺度下的分解,用來解釋市場風險和匯率風險。另外,我們導出了一個解析式,用來解釋時間尺度下證券投資組合的風險價值和邊際風險價值。我們選擇亞洲和美洲南中7個發(fā)展中國家的股票指數作為我們的樣本數據,樣本期為2000年到2010年。我們的主要結論有以下三點： (1)首先,估計結果依賴于全球市場的證券投資組合。尤其是樣本國家的股票市場與其他發(fā)展中國家的股票市場的聯系要比相對發(fā)達國家的股票市場的聯系更加緊密。 (2)第二,風險價值取決于投資者的投資期限范圍。在短期投資下潛在的損失比長期投資的多。 (3)最后,根據不同的投資期限,額外的對一些特殊股票的投資會在很大程度上增加風險價值。 通過本文的分析,我們的結論是與當前關于多元化投資重要性的資產定價研究相一致的。
[Abstract]:Wavelet analysis is currently applied mathematics and engineering disciplines in a rapidly developing new fields, after almost 10 years of exploration and study, important mathematical formalization system has been established, a solid theoretical base. Compared with Fourier transform, wavelet transform is a space (time) and frequency of the local transformation, which can effectively extract information in the signal analysis. The refinement by dilation and translation can be carried out on multi-scale function or signal, to solve many difficult problems cannot be solved by Fourier transform. The wavelet transform with applied mathematics, physics, computer science, signal and information processing, image processing, multi subject seismic exploration at the end of 80s. The application of wavelet analysis, started in the financial sector. The economic cycle, the stock market, foreign exchange market, the multi-scale decomposition, wavelet analysis provides a new way of thinking. With the Chinese Financial City With the gradual improvement of the field, the application demand between interdisciplinary is urgent, and the application field of wavelet analysis is more extensive.
In this paper, we derive the ICAPM decomposition model in time scale, to explain the market risk and exchange rate risk. In addition, we derive an analytic formula to explain the value of investment portfolio risk and marginal risk value of time scales. We choose the South Asia and the Americas in 7 developing countries stock index as the sample our data, the sample period is from 2000 to 2010. Our main conclusions are the following three points:
(1) first, the estimated results depend on the global market portfolio. Especially, the relationship between the stock market of the sample countries and other developing countries' stock market is more closely related to the stock market of the relatively developed countries.
(2) second, the value of the risk depends on the duration of the investor's investment period. In the short term, the potential loss is more than the long-term investment.
(3) finally, the additional investment in some special stocks will increase the value of the risk to a large extent according to the different period of investment.
Through this analysis, our conclusion is consistent with the current asset pricing research on the importance of diversification.

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：O174.2;F224;F831.51

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本文編號：1530636