基于条件收益率的投资组合理论研究

【作者】 李朋根；

【导师】 肖春来；

【作者基本信息】 北方工业大学 ， 数量经济学， 2006， 硕士

【摘要】 现代投资理论是在马柯维茨(Harry·M·Markowitz)1952年发表的具有历史意义的论文《证券组合选择》和1959年出版的同名专著基础上发展起来的理论框架。 在证券投资组合理论中,证券的收益率及其统计分布特征是最基本的研究基础。目前的一般情况是:假定某种证券的收益率的统计分布特征在一定时期内基本稳定,并以此为基础展开投资组合理论的研究。然而,实际的市场情况并不完全支持这种假设,因此,我们转而研究不同市场条件下的收益率统计分布特征,根据条件收益率的分布特征进行投资组合理论研究,将使其实际应用更加贴近市场实际。 本文首先简要介绍了证券投资组合理论的产生和发展,重点阐述了收益和风险两个关键观念,然后,引入了条件收益率的概念,在条件收益率的基础上提出了VaA(期望条件收益率)、VaB(最佳条件收益率)、VaR(条件VaR)的概念,建立了一种新的证券收益和风险的度量模型。 然后我们引入了相对价格的概念,创立了VrR体系,其中的大盘指数部分VaR_I、VaA_I、VaB_I是系统因素,若引入股指期货,可通过调整其多空头寸来对冲其风险;本文重点研究的是相对价格因素部分的VaR_s、VaA_s、VaB_s,并认为该部分是可以控制的因素(股票自身的个别因素)。之所以建立这样的体系,我们是提供了一种新的思路,即:把传统的对股票收益和风险的度量转移到相对价格和条件收益率上来。 最后,分别在股票价格和股票收益服从二元正态分布和经验分布的条件下,在马柯维茨组合理论的框架基础上,应用历史数据构建投资组合,即:VaA、VaB—VaR模型,把组合的收益和大盘指数的收益相比教,在不同的价格条件下调整投资组合,然后建立有效组合边界,并与马柯威茨组合边界相比较。实证分析表明我们的模型是有效的,这就为广大投资者提供了一种新的投资思路。更多还原

【Abstract】 Current investment theories is a kind of academic frame which developed on the base of a historic paper named 《Selection of securities combination 》 that was published by Harry·M·Markowitz in 1952 and a homonymic monograph released in 1959.According to the theories of securities’ investment portfolio, the yield of security and its statistic distribution characters are the most elementary researching foundation. Presently, the common situation is to assume the statistic distribution characters of the yield of a security are stable during a period, then begin the research of the theories of securities’ investment portfolio on the base of it. However, the actual conditions in the market incompletely support this hypothesis. So, we turn to research the statistic distribution traits of the yield under different market conditions. To develop the investigation on securities’ investment combination according to the distribution characters of conditional yield will make its actual application closer to the market facts.The paper first briefly introduces the birth and development of the theories of securities’ investment portfolio, excessively illuminates two critical conceptions: return and risk. Then, we import the conception of conditional yield, and on base of it, put forward the conceptions of VaA(expected conditional yield), VaB(prime conditional yield) and VaR (conditional VaR),finally establish a kind of new measure model for securities’ yields and risks.Secondly, we import the conception of relative price, build the system of VaR, in the system, the market index- VaR_I, 、 VaA—I、 VaB_I are systematic factors. If import stock index futures, we can counteract its risks by adjusting its long positions and short positions. The emphases of the paper are parts of relative price- VaR—S、 VaA_S 、 VaB_S, and we take they as the controllable factors(individual factors of stock itself). The motive to establish such a system is to offer a kind of new idea, that is, to turn the traditional measure for returns and risks of stock to relative price and conditional yield.Finally, respectively under the conditions that the stock’s price and return obey the binary normal distribution and empirical distribution, on the base of portfolio theories frame of Markowitz, we apply history datum to construct the investment portfolio, that is VaA、 VaB—VaR model. And we compare the yield of combination with the yield ofmarket index, adjust the investment portfolio under different price conditions, then build the effective portfolio boundary and compare it with the portfolio boundary of Markowitz. Practical analyses indicate that our model is effective, and this will offer a new investment idea for wide investors.更多还原