联系我们

论文查询结果	返回搜索

论文编号：	2625
作者编号：	2120082132
上传时间：	2010/6/17 9:10:06
中文题目：	基于因素模型的投资组合有效性与多样性的互斥研究
英文题目：	Research on the Mutex of Effectiveness and Diversity of Portfolio based on Factor Model
指导老师：	齐岳
中文关键字：	现代投资组合理论 单因素模型 多因素模型 有效边界 拐点投资组合
英文关键字：	Modern Portfolio Theory, Single Factor Model, Multi-factor Model, Efficient Frontier, Turning Point Portfolio
中文摘要：	1952年，美国著名经济学家Markowitz发表了Portfolio Selection一文，发起了现代投资组合理论的开端。在这篇论文中，风险和收益第一次被赋予了精确的定义，并以均值和方差的形式被量化出来。在他之后，Sharpe、Lintner和Mossin等经济学家继承和发展了现代投资组合理论，先后提出了单指数模型、资本资产定价模型、套利定价模型等一系列关于如何构建投资组合的理论模型，使得现代投资组合理论在实践中的应用越来越广泛。 时至今日，投资组合理论已经经历了50多年的发展，取得了不凡的成果。然而，关于如何构建有效的投资组合仍然没有一个另所有人信服的方法，现有的研究成果无论在理论上还是实践中都或多或少的存在着一些不足。其中一个亟待解决的问题是：投资组合的有效性与多样性存在着难以调和的互斥关系。解决这一问题思路有两个，一是在构建投资组合时添加约束条件，例如为股票设置权重上限等；二是用其他模型替代传统的均值-方差模型。本文正是基于Sharpe的单因素模型和Fama的三因素模型，通过对中国股票市场2003年到2008年的股票收益率数据的研究，探讨投资组合有效性与多样性的互斥关系。 投资组合有效性与多样性的互斥问题有着重要的现实基础。随着现代投资组合理论的兴起和发展，以美国为代表的全球范围内的投资组合管理也随之发展起来，共同基金（Mutual Fund）作为投资组合管理的代表性行业迅速地成长起来。无论在投资管理实践中，还是法律的相关规定中，都要求基金经理在选择股票的时候达到一定程度的多样化要求，以保护投资者的资金不会暴露在过高风险之下。中国基金行业诞生于20世纪90年代初，截止到2007年底，我国共同基金数量达到346支，已经成为中国金融行业中一股不可忽视的力量。因此如果能找到一个解决或者缓解投资组合有效性与多样性矛盾的方法，不仅是在现代投资组合理论的上的重大突破，同时也对实践具有重要的指导意义。 本文首先简单的介绍了文章的研究背景、研究意义以及研究方法，然后对现代投资组合理论的相关文献进行了系统的梳理和总结，在前面两个部分的基础上，选取中国股票市场数据进行了实证研究，并对实证结果进行了分析。虽然并没有从根本上解决这一问题，但对于缺乏这方面研究的中国股票市场来说，仍然是一项有益的尝试。随着现代投资组合理论的发展，必将有新的理论不断涌现出来，本文也对将来使用新的理论解决这一问题具有重要的参考价值。这些努力所取得的成果，必将为我国的基金行业提供有益的指导，从而促进其更加快速和健康的发展。
英文摘要：	In 1952, American famous economist Markowitz publicized paper Portfolio Selection on The Journal of Finance, marking the beginning of modern portfolio theory. In this paper, risks and benefits were firstly precisely definite and quantitative of mean and variance. The method of choosing portfolio under conditions of uncertainty provides the basis of Modern Portfolio Theory. Further, Sharpe， Lintner and Mossin inherited and developed Modern Portfolio Theory, proposing single-index model, capital asset pricing model, arbitrage pricing model, which were widely used in practice. Until now, Modern Portfolio Theory has achieved extraordinary results in 50 years. However, it is a controversial issue as to how to construct an effective portfolio. An urgent problem is that the effectiveness and diversity of portfolio have irreconcilable mutex relations. Diversification should be an effective combination of important characteristics of the investment. However, the portfolio we construct in traditional mean – variance model lack this characteristic. There are two ways to solve the problem. One way is adding constraints like the weight limit. The other is substituting traditional mean – variance model. This paper researched on stock returns during 2003 and 2008 based on single factor model and the three factor model. It is hoped to enrich and develop modern portfolio theory and guide Chinese investment market in practice. With the development of Modern Portfolio Theory, Mutual Fund develops rapidly at the same time. It is required that fund manager should reach the degree of diversity to protect the benefit of investors. China's fund industry was born in the early 20th century, 90. Until 2007, the number of Mutual Fund is 346. Therefore, it will be a major breakthrough to solve the mutex of effectiveness and diversity of portfolio and will have practical significance. This paper firstly introduced the background, significance and research methods. Further, it collated and summarized the literature of Modern Portfolio Theory. Based on the above research, the paper selected data from Chinese stoke market to conduct further analysis. Although it could not solve the problem fundamentally, it is a useful attempt. With the development of Modern Portfolio Theory, this paper will be of great reference value. Moreover, it is an attempt to introduce other constraints. The results will be surely beneficial to fund industry to promote rapid and healthy development.
查看全文：	预览  下载(下载需要进行登录)