發(fā)布時(shí)間：2018-01-02 01:00

  本文關(guān)鍵詞：基于Black-Litterman模型的QDⅡ基金全球資產(chǎn)組合優(yōu)化配置研究　出處：《哈爾濱工業(yè)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： QDII基金 全球資產(chǎn)配置 Black-Litterman模型

【摘要】：合格境內(nèi)機(jī)構(gòu)投資者制度(QDII)是指有限制的放開符合一定條件的大陸境內(nèi)機(jī)構(gòu)投資者投資境外資本市場(chǎng),是在資本市場(chǎng)尚未完全對(duì)外開放下的臨時(shí)性、過(guò)渡性的投資制度。我國(guó)自2007年開始實(shí)施合格境內(nèi)機(jī)構(gòu)投資者制度,這一方面為投資者提供了更加廣闊的平臺(tái)和投資渠道,另一方面也使投資者面臨更多的風(fēng)險(xiǎn)暴露,出現(xiàn)了諸多亟待解決的戰(zhàn)略戰(zhàn)術(shù)問題。由于人才缺乏、資產(chǎn)配置失衡以及金融危機(jī)等國(guó)際資本市場(chǎng)波動(dòng)的諸多方面的原因,QDII基金無(wú)論在發(fā)行份額方面還是整體收益方面均業(yè)績(jī)慘淡,其中,資產(chǎn)配置過(guò)于集中、過(guò)分依賴中概股是很重要的一部分原因。本文以QDII基金的資產(chǎn)配置為視角,在回顧和分析了國(guó)內(nèi)外關(guān)于資產(chǎn)配置理論的文獻(xiàn)后,選取了主動(dòng)型管理模型——Black-Litterman模型,綜合市場(chǎng)隱含收益率與投資者主觀看法,對(duì)當(dāng)前的QDII基金資產(chǎn)區(qū)域配置進(jìn)行了重新優(yōu)化。在資產(chǎn)配置模型的運(yùn)用方面,本文的主要?jiǎng)?chuàng)新在于運(yùn)用多元向量自回歸模型計(jì)算BL模型中的投資者觀點(diǎn),而并非以往研究中根據(jù)投資者主觀判斷隨意賦值的方法。為了優(yōu)化基金資產(chǎn)配置,增加基金的風(fēng)險(xiǎn)收益率,本文著重以下兩個(gè)方面的研究與應(yīng)用。首先,選取了2013年、2014年QDII基金年報(bào)中所覆蓋的十個(gè)全球主要資本市場(chǎng),根據(jù)已有的理論文獻(xiàn)支持,選取了指數(shù)收益率、國(guó)民生產(chǎn)總值、狹義貨幣供應(yīng)量、通貨膨脹率和市場(chǎng)利率五個(gè)指標(biāo),利用多元向量自回歸模型(VAR)對(duì)2006年9月至2011年9月間的月度數(shù)據(jù)進(jìn)行擬合,在擬合模型驗(yàn)證穩(wěn)定的條件下對(duì)2011年10月至2014年3月的十大資本市場(chǎng)指數(shù)收益率進(jìn)行預(yù)測(cè)。其次,采用Black-Litterman模型,將前一部分的預(yù)測(cè)結(jié)果作為BL模型中的投資者觀點(diǎn)收益向量參數(shù),結(jié)合市場(chǎng)隱含均衡收益率,形成后驗(yàn)收益,通過(guò)線性規(guī)劃求解出最優(yōu)配置。為了橫向的比較模型的優(yōu)化結(jié)果,同時(shí)與均值方差模型優(yōu)化結(jié)果進(jìn)行對(duì)比,對(duì)2011年四季度至2014年一季度共計(jì)十個(gè)季度的跟蹤驗(yàn)證,配對(duì)T檢驗(yàn)結(jié)果顯示本文采用的BL模型得出的資產(chǎn)配置結(jié)果在以夏普比率作為績(jī)效指標(biāo)的情形下最優(yōu),而后根據(jù)實(shí)證結(jié)果提出了相關(guān)投資建議。
[Abstract]:Qualified domestic institutional investor system (QDII) refers to the limited liberalization of mainland institutional investors who meet certain conditions to invest in the overseas capital market. It is a temporary situation in which the capital market has not been completely opened to the outside world. Since 2007, China has implemented the qualified domestic institutional investor system, which provides a broader platform and investment channel for investors. On the other hand, investors are faced with more risk exposure, there are many strategic and tactical problems to be solved. The reasons for the imbalance of asset allocation and the volatility of international capital market, such as the financial crisis, are the poor performance of QDII fund both in terms of issue share and overall income. The asset allocation is too concentrated, too much reliance on shares is a very important part of the reason. From the perspective of asset allocation of QDII funds, this paper reviews and analyzes the domestic and foreign literature on asset allocation theory. The active management model, Black-Litterman model, is selected to integrate the implied return rate of the market with the subjective view of investors. This paper re-optimizes the current QDII fund asset allocation in the application of asset allocation model. The main innovation of this paper is to use the multivariate vector autoregressive model to calculate the investors' viewpoint in BL model, rather than the method of random assignment based on investors' subjective judgment in previous studies, in order to optimize the allocation of fund assets. This paper focuses on the following two aspects of the research and application. Firstly, this paper selects ten major global capital markets which are covered by the annual report of QDII fund on 2013 and 2014. According to the existing theoretical literature, the index of return, GNP, narrow money supply, inflation rate and market interest rate are selected. The multivariate vector autoregressive model was used to fit the monthly data from September 2006 to September 2011. Under the condition that the fitting model verifies the stability, this paper forecasts the returns of the top ten capital market indices from October 2011 to March 2014. Secondly, the Black-Litterman model is adopted. The former part of the forecast results as the income vector parameters of the BL model investors view, combined with the market implicit equilibrium rate of return, after the formation of the acceptance benefit. The optimal collocation is obtained by linear programming. In order to compare the optimization results of the horizontal model and the mean variance model, the optimization results are compared with those of the mean-variance model. Tracking validation of a total of 10 quarters from the fourth quarter of 2011 to the first quarter of 2014. The results of paired T test show that the asset allocation results obtained by BL model are optimal under the condition that Sharpe ratio is taken as the performance index. Then the relevant investment suggestions are put forward according to the empirical results.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5

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