联系我们

论文查询结果	返回搜索

论文编号：	933
作者编号：	2120071963
上传时间：	2009/5/24 23:08:53
中文题目：	投资组合有效边界敏感度的实证研
英文题目：	An Empirical Study on Sensitiv
指导老师：	齐岳教授
中文关键字：	投资组合 有效边界 敏感度 上市<
英文关键字：	Investment Portfolio Effici
中文摘要：	投资组合理论主要解决如何把个人和机构所拥有的资金在诸如股票、债券、以及衍生证券等各种资产中进行最优配置的问题。投资组合理论在Markowitz发表了著名的"Portfolio Selection"(1952)后步入了一个新的阶段，成为了金融学的重要分支。 有效边界是用来描述投资组合的风险与回报之间的关系，在以风险为横轴，预期回报率为纵轴的坐标上显示为一条光滑的曲线。在该曲线上，投资者不能在不承受更大风险的条件下获得更大的收益。 Markowitz和Todd(2000)系统地论证了有效边界由一些拐点投资组合构建，两个相邻的拐点投资组合之间的有效边界片段是双曲线片段。他们进一步描述了Markowitz(1956)提出的关键线算法来求解精确的有效边界。 投资组合有效边界的敏感度是研究投资组合的有效边界随着预期收益率或协方差矩阵变动而变动的情况。当我们运用Markowitz投资组合理论，通过建立投资组合选择模型来研究有效边界时，需要知道证券的预期收益率和协方差矩阵。有效边界的敏感度对投资组合选择和投资组合管理都非常重要，因为它能为投资者提供有效边界可能发生的变化的信息。 本文选择中国大陆上市公司股票月收益率，计算出平均收益率以估计预期收益率，并生成协方差矩阵，使用Markowitz和Todd所建立的关键性算法软件计算出对应的有效边界，绘出原始图形。采用一定的方式扰动证券的预期收益率，计算出新的有效边界，在图中绘出。通过图中原始和被扰动的有效边界的重合程度和数理表达式得出有效边界对于证券的预期收益率的敏感度的大小。 根据股票收益率的分布特性用Hirschberger, Qi和Steuer(2007b)算法产生一个新的协方差矩阵。用模型计算出新的有效边界，在图中绘出。得出有效边界对于证券的协方差矩阵的敏感度的大小。 通过上述有效边界两种敏感度的分析，能获知中国上市公司股票投资组合对预期收益率和协方差矩阵的敏感度，进而可以得知投资者对于哪个因素比较敏感，在以后的投资中，需要更加注意哪个因素。
英文摘要：	Portfolio theory is mainly used to optimize the collocation of personal or collective fortune in forms of assets such as stock-shares, bonds and other derivatives. Portfolio theory has became an important branch of Finance, after Henry M. Markowitz published his famous paper-Portfolio Selection. Efficient frontier is used to describe the relationship between risk and the expected return of an investment portfolio, it shows as a smooth curve in the coordinates where risk shows as the horizontal axis and expected return shows as the vertical axis. Investors can not expect greater returns if not bear greater risk on this smooth curve.. Markowitz and Todd (2000) systematically demonstrated that efficient frontier is built by some corner portfolios, every two corner portfolio are connected by hyperbola fragments. They further described the critical line algorithm (CLA) that Markowitz (1956) put forward to get the precise efficient frontier. Sensitivity of efficient frontiers is going to examine the changes of efficient frontier when expected return or covariance matrix changes. When we use Markowitz portfolio theory, through the establishment of portfolio selection model to study the investment portfolio of securities, we need to know the expected return and covariance matrix. The sensitivity of efficient frontier is very important to portfolio selection and portfolio management because it provides investors with information of possible changes of efficient frontier. In this thesis, I have selected the monthly rate of return of shares of listed companies in mainland China. Calculated average rate of return to estimate the expected rate of return, and generate the covariance matrix. We can get the corresponding efficient frontier by using critical line algorithm setting up by Markowitz, Todd, and draw the original graphics. Disturbing expected return, then calculate the new efficient frontier, and draw the new graph. Sensitivity is got through the mapping and the original disturbance coincidence degree of effective border and mathematical expressions derived for the effective border securities. To produce a new covariance matrix according to the yield of the stock with the distribution of characteristics, we use Hirschberger, Qi and Steuer (2007b) Algorithm Model Calculation. Drawing the new efficient frontier in the graph, and then get the sensitivity through calculation.. We can know the sensitivity of efficient frontier to expected returns and covariance matrix of China's listed companies through analyzing the above-mentioned two types of sensitivity, and then we are told that investors to which factor are more sensitive, should pay more attention to which factors in the future.
查看全文：	预览  下载(下载需要进行登录)