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论文编号：	4813
作者编号：	2120102470
上传时间：	2012/12/11 23:44:38
中文题目：	基于CPPI策略与量化投资相结合的实证研究
英文题目：	The Investment Strategy Research Based On Constant Proportion Portfolio Insurance and Quantification Investment
指导老师：	齐岳
中文关键字：	恒定比例投资组合保险策略,量化投资,信托
英文关键字：	Constant Proportion Portfolio Insurance,Quantitative Investment,Trust
中文摘要：	国家经济的繁荣发展创造出更多的富裕人士，随着富裕阶层财富的不断积累，他们对于高端理财的需求也不断上升，从而推动了整个财富市场的发展，我国私人银行业务正是在这种环境下发展起来的。自2007年中国银行首先开设私人银行业务以来，五年间，我国私人银行业发展迅速。但随着高净值客户需求日趋个性化，现有产品、服务越来越无法满足每位客户多样化的需求。所以，在这种情况下，我国私人银行需要通过制定合理的客户资产投资组合方案，使私人银行业务在更好满足客户需求的基础上继续向前发展。本文首先阐述了选题背景和选题意义，在界定私人银行业务，并阐述私人银行业务特点后，通过概述和比较国内外私人银行业务发展情况，总结出我国在发展私人银行业务方面存在的一些问题。针对私人银行在业务开展方面存在的问题，运用实证分析的方法对客户的个人因素（资产投资状况、所处生命周期、个人投资偏好）与投资组合中各投资工具所占比重进行相关性研究，并建立模型，通过回归分析的方法得到五种投资工具在投资组合中所占比例的回归方程。私人银行可以根据客户的实际情况通过变量转换代入方程，计算得出恰当的投资工具比例，据此为客户制定投资组合策略。最后，就制定投资组合时应注意的问题提出了建议。
英文摘要：	The wealthy class increases with the rapid economic development of our country. These wealthy people with high desire of high-end personal finance service make the whole wealth markets develop at a full speed. This kind of environment booms the private banking operations of domestic commercial banks. Bank of China is the first commercial bank in China that set up private banking operations in 2007. Till now, domestic commercial banks have been developing private banking operations for five years. But during the need of customers is more and more diversified, which leads the existing products and service is not able to satisfy the need of customers. Therefore, under this situation, domestic private banks should to formulate a reasonable customer’s asset portfolio, so as to develop rapidly basis on satisfying the different need of more and more customers. This article first elaborated the background and the significance for choosing this topic, and then it presents the definition and characteristics of private banking operations. Then, the essay contrasts the domestic and foreign private banks’ business development condition and point out the problems of domestic private banks. The empirical research analyses whether the asset investment situation, life cycle and the investment preferences of the client are related to investment tools proportion of portfolio. In addition, sets up the model, through the regression analysis method obtain regression equation about investment tools’ proportion of portfolio, and then private bank can be the actual situation according to the customer through the transformation of variables into the equation, calculating the appropriate investment vehicles proportion, accordingly for customers to develop a portfolio strategy. Finally, for the Problems should be paid attention to in portfolio, the article give some suggests.
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