本文選題：馬克維茨投資組合　切入點：黃金期貨　出處：《華東師范大學》2016年碩士論文

【摘要】：黃金和股票、期貨、債券、外匯都是世界金融市場的主要投資品種,是構成國際金融市場的重要投資工具,在復雜多邊的世界政治、經(jīng)濟形勢下,黃金交易以其內涵顯著的保值避險特點,受到機構及個人投資者的廣泛青睞。伴隨著黃金的非貨幣化進程,黃金投資市場已經(jīng)有了相當成熟的發(fā)展,在全球各類黃金期貨、黃金現(xiàn)貨、黃金股票不同市場及品種的不斷推出使得投資者通過參與各類黃金業(yè)務獲利來實現(xiàn)自身的財務目標。本文寫作的意義在于通過對黃金期貨及黃金股票的理論研究,結合相同因素對不同黃金投資市場影響情況的實證分析,構建有效的投資組合,為廣大投資者提供黃金投資建議。本文在馬克維茨投資組合理論框架下,首先分析黃金資產(chǎn)配置和投資的基礎,選取黃金期貨及黃金股票作為主要研究對象,從理論角度通過研究兩項資產(chǎn)的波動相關性,確認不同資產(chǎn)間的非系統(tǒng)性風險可能被有效分散；隨后尋找黃金資產(chǎn)組合的有效邊界,定位無風險收益率約束下的風險調整收益最優(yōu)組合,并一起構建組合資本市場線。其次,本文通過建立多元回歸分析模型的方法,分別建立黃金期貨價格、黃金股票價格與美國宏觀經(jīng)濟因素、全球黃金供給與需求、相關市場等因素的回歸模型,對相同因素影響兩個投資品種價格的顯著性進行了實證研究,驗證上述因素對兩種品種價格分別影響的方向及大小,進一步得出兩者價格走勢差異的原因。本文第四部分在上述黃金資產(chǎn)投資組合理論分析的基礎上,從實證上構建包含無風險資產(chǎn)、黃金期貨及黃金股票的有效黃金資產(chǎn)投資組合,并將投資組合的夏普比率與單一投資品種的夏普比率進行比較,得到了在較長的投資期間內,相較單獨投資黃金期貨或黃金股票,投資組合的夏普比率更高,即投資組合的收益-風險比最優(yōu)的結論,驗證了本文可能性分析的理論部分。本文最后一章針對前述理論分析及實證,給予投資者、政府及機構建議。
[Abstract]:Gold and stocks, futures, bonds, and foreign exchange are all the main types of investment in the world financial market. They are important investment instruments that constitute the international financial market. In the complex multilateral world political and economic situation,Gold trading is widely favored by both institutional and individual investors because of its obvious characteristics of hedging and hedging.With the process of non-monetization of gold, the gold investment market has developed quite maturely. In all kinds of gold futures around the world, gold spot,The continuous introduction of gold stocks in different markets and varieties enables investors to achieve their financial goals by participating in various gold businesses.The significance of this paper is to construct an effective investment portfolio through the theoretical study of gold futures and gold stocks, and the empirical analysis of the influence of the same factors on different gold investment markets, so as to provide gold investment advice for the majority of investors.Under the framework of Markowitz's portfolio theory, this paper first analyzes the basis of gold asset allocation and investment, selects gold futures and gold stocks as the main research object, and studies the volatility correlation of the two assets from the theoretical point of view.It is confirmed that the non-systemic risk between different assets may be effectively dispersed, and then the effective boundary of gold portfolio is found, and the optimal portfolio of risk-adjusted returns under the constraint of risk-free rate of return is located, and the portfolio capital market line is constructed together.Secondly, this paper establishes the regression models of gold futures price, gold stock price and American macroeconomic factors, global gold supply and demand, relevant market, etc.This paper makes an empirical study on the effect of the same factors on the price of two kinds of investment varieties, verifies the direction and magnitude of the influence of the above factors on the price of the two varieties, and further finds out the reasons for the difference in price trend between the two varieties.In the fourth part of this paper, on the basis of the theoretical analysis of the gold asset portfolio mentioned above, an effective portfolio of gold assets including risk-free assets, gold futures and gold stocks is constructed empirically.Comparing the Sharp ratio of a portfolio with that of a single investment variety, it is concluded that in a longer investment period, the Sharp ratio of a portfolio is higher than that of a single gold futures or gold stock.The conclusion that the income-risk ratio of portfolio is optimal verifies the theoretical part of the possibility analysis in this paper.The last chapter of this paper gives advice to investors, governments and institutions in view of the above theoretical analysis and empirical analysis.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F831.54;F831.53

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本文編號：1722604