本文關(guān)鍵詞：加入商品期貨后投資組合優(yōu)化研究　出處：《南京財(cái)經(jīng)大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 商品期貨 均值-CVaR 夏普比率 資產(chǎn)比重

【摘要】：在國外,由于期貨市場的成熟發(fā)展,國外研究者早已將商品期貨作為投資工具的一種加入到投資組合中來規(guī)避風(fēng)險。然而,由于我國期貨市場起步的比較晚,國內(nèi)研究者很少意識到商品期貨具有良好的性能,比如正偏態(tài)、高流動性、低交易成本、與傳統(tǒng)資產(chǎn)的低相關(guān)性等,而這些優(yōu)點(diǎn)恰好能夠很好將商品期貨作為一種投資工具,以此來達(dá)到規(guī)避風(fēng)險的目的。本文第二章主要回顧了前人的研究,發(fā)現(xiàn)前人的研究主要有幾點(diǎn)不足:第一,均值-方差模型存在很多不足;第二,前人在投資組合中加入商品期貨時從未考慮過商品可以被賣空這種情況。于是本文從前人研究中尚存在的問題出發(fā),第三章主要介紹具有良好統(tǒng)計(jì)性質(zhì)的風(fēng)險度量方法-CVaR,包括CVaR的定義,計(jì)算及性質(zhì)。第四章基于均值-方差模型的思想,構(gòu)造均值-CVaR模型,以及在加入無風(fēng)險資產(chǎn)后確定最優(yōu)風(fēng)險資產(chǎn)投資組合。第五章則在均值-CVaR模型下,首先從商品期貨不允許被賣空這種情況出發(fā),本文在由股票和債券組成的投資組合中加入某個商品期貨來檢測在市場上已經(jīng)流通的商品期貨是否能夠改善投資組合;接著通過比較傳統(tǒng)投資組合(只包含股票和債券這兩類傳統(tǒng)資產(chǎn))和完全投資組合(包含傳統(tǒng)資產(chǎn)和所有的單個商品期貨)以及由傳統(tǒng)資產(chǎn)和商品期貨指數(shù)構(gòu)成的投資組合的最優(yōu)結(jié)果,來檢測單個商品期貨以及商品期貨指數(shù)的分散化效果。其次,考慮商品期貨允許被賣空這種情況,本文通過比較不同置信水平下的傳統(tǒng)投資組合與完全投資組合的表現(xiàn)來確定商品期貨的投資價值。倘若一個投資組合中資產(chǎn)的比重隨著時間是穩(wěn)定的,那么投資組合的管理就會給投資者帶來較少的成本及精力。因此,本文還檢測了在高、中、低風(fēng)險水平下,加入商品期貨后的投資組合中各資產(chǎn)的最優(yōu)比重主要受何種因素影響。結(jié)論表明,在均值-CVaR的框架下,無論是商品期貨不允許賣空還是商品期貨允許賣空,商品期貨確實(shí)能夠給投資組合帶來分散化效果。但是,風(fēng)險水平越高,商品期貨的風(fēng)險分散能力越低。其次,在傳統(tǒng)投資組合中加入若干個商品期貨能夠達(dá)到更好的風(fēng)險分散效果。對于完全投資組合中資產(chǎn)比重受何種因素影響,結(jié)論是:在高風(fēng)險水平下,資產(chǎn)比重只由資產(chǎn)的收益決定;在中等風(fēng)險水平下,資產(chǎn)比重由資產(chǎn)的收益和資產(chǎn)間相關(guān)性程度決定;在低風(fēng)險水平下,資產(chǎn)比重由資產(chǎn)間相關(guān)性以及資產(chǎn)本身的CVaR共同決定。
[Abstract]:In foreign countries, because of the mature development of futures market, foreign researchers have already added commodity futures as an investment tool to the portfolio to avoid risk. However, because of the late start of the futures market in China. Domestic researchers seldom realize that commodity futures have good performance, such as positive skewness, high liquidity, low transaction costs, low correlation with traditional assets and so on. These advantages can be used as an investment tool to achieve the purpose of avoiding risk. The second chapter reviews the previous studies. It is found that there are several shortcomings in previous studies: first, there are many shortcomings in the mean-variance model; Secondly, when the former people added commodity futures to the portfolio, they never considered the situation that commodities can be sold short. So this paper starts from the problems that existed in previous studies. The third chapter mainly introduces the good statistical nature of the risk measurement method-Cvar, including the definition, calculation and properties of CVaR. Chapter 4th based on the idea of mean-variance model. The mean-CVaR model is constructed and the optimal portfolio of venture assets is determined after adding riskless assets. Chapter 5th is based on the mean-CVaR model. First of all, commodity futures are not allowed to be short-sold. In this paper, a commodity futures is added to the portfolio composed of stocks and bonds to detect whether the commodity futures in circulation in the market can improve the portfolio. Then compare the traditional portfolio (which contains only two types of traditional assets, stocks and bonds) and the full portfolio (comprising traditional assets and all individual commodity futures). And the optimal result of portfolio composed of traditional asset and commodity futures index. To examine the diversification of individual commodity futures and commodity futures indices. Secondly, consider the situation in which commodity futures are allowed to be short sold. In this paper, the investment value of commodity futures is determined by comparing the performance of traditional portfolio and complete portfolio under different confidence levels. If the proportion of assets in a portfolio is stable over time. So portfolio management will bring less cost and energy to investors. Therefore, this paper also examines the high, medium and low risk levels. After adding commodity futures, the optimal proportion of each asset in the portfolio is mainly affected by what factors. The conclusion shows that under the framework of mean value-CVaR. Whether commodities futures are not allowed to sell short or commodities futures allow short selling, commodity futures can indeed bring diversification effect to the portfolio. However, the higher the risk level. The lower the risk dispersion ability of commodity futures is. Secondly, adding several commodity futures to the traditional portfolio can achieve better risk dispersion effect. The conclusion is: under the high risk level, the proportion of assets is only determined by the income of assets; Under the medium risk level, the proportion of assets is determined by the degree of correlation between the income of the assets and the assets; At low risk level, the proportion of assets is determined by the correlation of assets and the CVaR of assets themselves.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F224;F724.5

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本文編號：1412193