本文選題：市場(chǎng)因素　切入點(diǎn)：SV　出處：《南京理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：Markowitz均值-方差投資組合選擇理論自創(chuàng)立以來(lái),在經(jīng)濟(jì)金融研究領(lǐng)域中備受推崇,取得了一系列極為深刻的理論結(jié)果和廣泛的實(shí)際應(yīng)用效果。 周知,Markowitz均值-方差模型的構(gòu)建依賴于諸如資產(chǎn)的預(yù)期收益分布已知且滿足獨(dú)立同分布、投資者單期效用最大化等假設(shè)條件。但隨著經(jīng)濟(jì)生活環(huán)境的不斷變化和發(fā)展,這些假設(shè)條件或過(guò)于理想或很難滿足。因之,尋找更為合理、有效、符合實(shí)際金融市場(chǎng)狀況的廣義投資組合(可能有別于Markowitz收益線性投資組合)模型及分析方法,顯得自然而然且自有其理論推廣和現(xiàn)實(shí)應(yīng)用的雙重含義與價(jià)值。 GARCH-Copula模型乃至SV-Copula模型的構(gòu)建,為這一廣義投資組合想法的實(shí)現(xiàn)提供了思路和手段,為解決資產(chǎn)收益非獨(dú)立同分布的組合投資管理提供了一個(gè)初步的可行的方案。但是,可能是因?yàn)檫@兩個(gè)模型的數(shù)理分析上的難度使然,兩模型都忽略了一個(gè)基本事實(shí)：市場(chǎng)因素對(duì)廣義投資組合的影響。有鑒于此,本文充分考慮了市場(chǎng)因素對(duì)廣義組合投資的影響,深入研究并構(gòu)建了基于市場(chǎng)因素影響下的CAPM-SV-Copula模型,以此測(cè)度金融風(fēng)險(xiǎn),并為投資者的資產(chǎn)組合選擇管理提供一個(gè)合理、有效的分析工具。 首先,本文考慮了市場(chǎng)因素對(duì)波動(dòng)率和收益率的影響,將CAPM模型和SV模型相結(jié)合,構(gòu)建了廣義CAPM-SV模型,并對(duì)工商銀行股票收益率序列進(jìn)行了實(shí)證分析。研究發(fā)現(xiàn)本文提出的廣義CAPM-SV模型在數(shù)據(jù)擬合效果和風(fēng)險(xiǎn)預(yù)測(cè)能力方面比原來(lái)SV模型的效果要好。 其次,將廣義CAPM-SV模型與Copula方法結(jié)合,構(gòu)建了CAPM-SV-Copula模型,并對(duì)中國(guó)工商銀行和中國(guó)石油構(gòu)成的投資組合進(jìn)行實(shí)證分析。結(jié)果表明考慮了市場(chǎng)因素而構(gòu)建的模型在風(fēng)險(xiǎn)刻畫能力方面,特別是描述尾部風(fēng)險(xiǎn)能力方面,優(yōu)于傳統(tǒng)的SV-Copula模型的刻畫效果。
[Abstract]:Since Markowitz's mean-variance portfolio selection theory was founded, it has been highly respected in the field of economic and financial research, and has obtained a series of profound theoretical results and extensive practical application results. It is well known that the construction of Markowitz's mean-variance model depends on assumptions such as that the expected return distribution of assets is known and satisfies the independent same distribution, and that investors maximize single-period utility. However, with the continuous changes and development of the economic living environment, These assumptions are either too ideal or difficult to meet. As a result, look for more reasonable, efficient, broadly based portfolio models and analytical methods that are likely to be different from Markowitz return linear portfolios, in line with actual financial market conditions. It is natural and has its dual meaning and value of theoretical popularization and practical application. The construction of the GARCH-Copula model and even the SV-Copula model provides the idea and means for the realization of this generalized portfolio idea, and provides a preliminary feasible scheme for solving the portfolio investment management, which is not independent and distributed in terms of asset returns. Perhaps because of the difficulty in mathematical analysis of the two models, both models ignore a basic fact: the influence of market factors on the broad portfolio. In this paper, the influence of market factors on generalized portfolio investment is fully considered, and the CAPM-SV-Copula model based on market factors is studied and constructed in order to measure financial risk and provide a reasonable choice management for investors' portfolio. Effective analytical tools. Firstly, considering the influence of market factors on volatility and yield, the generalized CAPM-SV model is constructed by combining CAPM model with SV model. The empirical analysis of ICBC stock return series shows that the generalized CAPM-SV model proposed in this paper is more effective than the SV model in data fitting and risk prediction. Secondly, the generalized CAPM-SV model is combined with the Copula method to construct the CAPM-SV-Copula model. The empirical analysis of the portfolio of ICBC and PetroChina shows that the model, which takes market factors into account, has the ability to describe the risk, especially the tail risk. It is better than the traditional SV-Copula model.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.59;F224

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