本文選題：基金中的基金(FOF)　切入點(diǎn)：風(fēng)險(xiǎn)平價(jià)　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：傳統(tǒng)金融學(xué)中,馬克維茨資產(chǎn)組合理論已經(jīng)被眾人所熟知。馬克維茨理論中講述了在配置風(fēng)險(xiǎn)資產(chǎn)的時(shí)候要遵循分散化原理,并且當(dāng)風(fēng)險(xiǎn)一定(或者收益一定的時(shí)候)想要最優(yōu)化自己的投資組合有且只有一個(gè)收益最大(或者風(fēng)險(xiǎn)最小的)點(diǎn)在的曲線,這個(gè)曲線稱之為有效邊界組合。這個(gè)理論是傳統(tǒng)金融學(xué)理論的基礎(chǔ),也使馬克維茨先生榮獲了諾貝爾經(jīng)濟(jì)學(xué)獎(jiǎng)。但是,該理論有一個(gè)致命的缺陷即當(dāng)投資組合中的各個(gè)資產(chǎn)的風(fēng)險(xiǎn)度不同的時(shí)候的情況其沒有考慮。比如當(dāng)大類資產(chǎn)中包含股票,債券,貨幣投資的時(shí)候,整個(gè)投資組合的風(fēng)險(xiǎn)往往是被其中股票資產(chǎn)的波動(dòng)(即風(fēng)險(xiǎn))所控制,這與傳統(tǒng)的分散化投資理念是相悖的。基于此,PanAgora基金的首席投資官錢恩平博士提出了著名的風(fēng)險(xiǎn)平價(jià)(Risk-Parity)理論,這一理論后來被橋水基金用于實(shí)際投資,獲得了很好的成果。本文就是利用風(fēng)險(xiǎn)平價(jià)思想,研究指數(shù)配置和ETF配置于目前國內(nèi)火熱的公募FOF產(chǎn)品的資產(chǎn)比例的研究。做出風(fēng)險(xiǎn)平價(jià)理論在中國市場的應(yīng)用實(shí)例,為中國的新的專注于公募FOF資產(chǎn)配置的基金公司提出一種資產(chǎn)配置的思路。當(dāng)然我個(gè)人認(rèn)為風(fēng)險(xiǎn)平價(jià)方法非常適合養(yǎng)老金的作為投資FOF產(chǎn)品的投資人(母基金)的資產(chǎn)權(quán)重選擇方法。研究方法主要采取利用WIND數(shù)據(jù)庫提取指數(shù)和ETF的數(shù)據(jù),計(jì)算收益率序列,再根據(jù)收益率序列得到協(xié)方差矩陣。再根據(jù)后面的風(fēng)險(xiǎn)貢獻(xiàn)度數(shù)學(xué)公式構(gòu)建方程組,求解權(quán)重。其他的問題主要是依靠EXCEL的編程實(shí)現(xiàn),一部分要依靠MATLAB進(jìn)行編程求解大數(shù)據(jù)下的權(quán)重問題。此部分是論文的核心,后面展示了每種資產(chǎn)和不同資產(chǎn)下的FOF組合的權(quán)重展示圖,凈值走勢圖,還有績效考察圖。從三個(gè)方面全面的解讀了利用風(fēng)險(xiǎn)平價(jià)理論在中國的資產(chǎn)配置的優(yōu)勢性和可行性。得到結(jié)論,風(fēng)險(xiǎn)平價(jià)理論可以用于在中國的投資FOF基金的一種資產(chǎn)配置理念。
[Abstract]:In traditional finance, Markowitz's portfolio theory is already well known. Markowitz's theory talks about the principle of decentralization in the allocation of risky assets. And when the risk is certain (or the return is certain) you want to optimize your portfolio with only one curve with the greatest (or least risky) point, This curve is called the efficient Boundary combination. This theory is the foundation of the traditional financial theory, and it also won Mr. Markowitz the Nobel Prize in Economics. There is a fatal flaw in this theory, that is, when the risk levels of each asset in the portfolio are different, it is not taken into account. For example, when a large class of assets include stocks, bonds, and money investments, The risk of the entire portfolio is often controlled by the volatility of the equity assets in the portfolio. This goes against the traditional idea of diversification. Based on this, Dr. Qian Enping, chief investment officer of the PanAgora Fund, put forward the famous Risk-Parity2 theory, which was later used by the bridge water fund to actually invest. In this paper, we use the idea of risk parity to study the asset ratio of index allocation and ETF allocation to the hot public offering FOF products in China, and make an example of the application of risk parity theory in Chinese market. Propose an asset allocation approach for China's new fund companies focused on FOF asset allocation. Of course, I personally think that the risk parity approach is very suitable for pension investors (parent funds) who invest in FOF products. The main research method is to use WIND database to extract index and ETF data. Then the covariance matrix is obtained according to the return sequence. Then the equations are constructed according to the following mathematical formulas of risk contribution, and the weight is solved. The other problems are mainly realized by the programming of EXCEL. This part is the core of the thesis, which shows the weight display chart of FOF combination under each kind of assets and different assets, the net worth trend chart. There is also a performance review chart. From three aspects of the comprehensive interpretation of the use of risk parity theory in China's asset allocation advantages and feasibility. Risk parity theory can be used to invest in FOF funds in China an asset allocation concept.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1599026