【摘要】：研究表明，資產(chǎn)配置對投資組合管理的業(yè)績貢獻(xiàn)超過了90%，而行業(yè)配置的貢獻(xiàn)也超過了20%。在成熟的資本市場上，量化的行業(yè)配置方法已經(jīng)是主流分析方法，而我國目前采用的行業(yè)配置方法仍以定性分析為主并且配置過程中涉及很多主觀因素使得配置方案具有很大的改進(jìn)空間。因此，運(yùn)用量化方法進(jìn)行行業(yè)配置已然成為研究重點(diǎn)。本文運(yùn)用Black Litterman模型來研究資產(chǎn)的行業(yè)配置問題，以期能對我國的行業(yè)配置的數(shù)量化研究做出貢獻(xiàn)。本文首先分析了我國行業(yè)配置研究現(xiàn)狀及存在的不足，并提出運(yùn)用Black Litterman模型對資產(chǎn)的行業(yè)配置進(jìn)行量化研究。由于Black Litterman模型的配置效果與觀點(diǎn)收益（收益率未來預(yù)期）的準(zhǔn)確性密切相關(guān)，因此本文引入了GARCH模型對收益率進(jìn)行建模，，用模型的預(yù)測值作為觀點(diǎn)收益。GARCH模型可以對收益率的各種特征進(jìn)行刻畫，從而使得觀點(diǎn)收益更為準(zhǔn)確，也使得行業(yè)配置方案更加精確，這也是本文的創(chuàng)新所在。從行業(yè)配置績效來看，配置方案所獲得的收益率優(yōu)于上證綜合指數(shù)收益率，而風(fēng)險也低于上證綜合指數(shù)風(fēng)險；從配置權(quán)重來看，該模型所得到的最優(yōu)權(quán)重并未出現(xiàn)極端高配或低配某些行業(yè)，這與投資實(shí)踐相符合。從配置結(jié)果來看，基于Black Litterman模型的行業(yè)配置研究是有效的。由于數(shù)據(jù)可得性問題及模型參數(shù)設(shè)置復(fù)雜，本文也有不足之處，將在以后做更加深入的研究。
[Abstract]:The research shows that asset allocation contributes more than 90 percent to portfolio management and industry allocation to more than 20 percent. In a mature capital market, quantitative industry allocation methods have become the mainstream analysis methods. However, the industry allocation method in our country is still based on qualitative analysis, and many subjective factors are involved in the configuration process, which makes the configuration scheme have great improvement space. Therefore, the use of quantitative methods for industry allocation has become the focus of research. In this paper, we use the Black Litterman model to study the industry allocation of assets in order to contribute to the quantitative research of industry allocation in China. Firstly, this paper analyzes the present situation and shortcomings of industry allocation research in China, and puts forward a quantitative study on industry allocation of assets by using Black Litterman model. Because the allocation effect of Black Litterman model is closely related to the accuracy of the viewpoint income (the expected future rate of return), this paper introduces GARCH model to model the return rate. Using the forecast value of the model as the viewpoint income. GARCH model can describe the various characteristics of the return, thus making the viewpoint income more accurate, and also making the industry configuration scheme more accurate, which is the innovation of this paper. From the view of industry allocation performance, the yield of allocation scheme is better than that of Shanghai Composite Index, and the risk is lower than that of Shanghai Composite Index. The optimal weights obtained by the model do not show extreme high or low matching in some industries, which is consistent with investment practice. From the configuration results, the industry configuration research based on Black Litterman model is effective. Due to the problem of data availability and the complexity of model parameter setting, this paper also has some shortcomings, and will do more in-depth research in the future.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F203;F832.51;F224

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