【作者】 孙晶；

【导师】 金秀；

【作者基本信息】 东北大学 ， 金融学， 2012， 硕士

【摘要】 指数化投资产生于20世纪70年代,经过近40年的发展,已经成为世界范围内的主要投资策略和投资方法之一。作为一种被动式的投资策略,指数化投资以复制和跟踪某一市场指数为目标,通过充分分散化投资组合来获取市场的平均收益率。它既没有积极基金管理的超额风险,也没有时机选择的限制,而且具有风险小、费用低、流动性高等优点,因此,探索指数化投资的投资模式及操作方法,对我国资本市场的发展具有重要的现实意义。本文围绕指数化投资这个主题,阐述了指数化投资的产生背景、指数化投资的优势及理论基础,并以跟踪误差为主线,介绍了跟踪误差的含义及计量跟踪误差的主要指标,然后通过最小化5种优化方法的跟踪误差,求得50只成分股票的最优权重,利用这5种优化组合进行了样本外的绩效检验,并对检验结果进行了比较。最后以平均绝对偏差模型为基础,根据投资者对跟踪误差和交易费用的不同偏好,建立了带比例交易费用的线性规划模型,在模型中考虑了预算限制、持仓限制等约束条件,并利用该模型对跟踪组合的定期调整问题和不定期调整问题进行了研究。主要结论如下。(1)通过对5种优化方法构造的最优组合进行样本外绩效检验时,发现比较适合我国证券市场实际情况的指数优化模型是MAD模型。(2)在对投资组合进行动态调整时,需要综合考虑交易费用、跟踪误差、调整频率等因素,并对这些因素进行平衡和协调。当对投资组合进行定期调整时,要综合考虑交易成本和跟踪误差两个因素,选择合适的调整时间间隔,使得目标函数最小化；在对投资组合进行不定期调整时,需要选择合适的调整阈值,对投资组合进行调整,以便得到较好的跟踪效果。更多还原

【Abstract】 Indexing investment generates in the1970s, after40years of development, it has become one of the main investment strategies in the world. Indexing investment is a kind of passive investment pattern which achieves an average return of stock market through the full decentralization and passive management, for the purpose of replicating and tracking a stock market index. It has neither the excess risk nor timing restrictions, and has many advantages. So its rapid development provides investors with a variety of user-friendly investment opportunities. Therefore, there is an important theoretical and academic value to get an accurate understanding of the meaning of indexing investment and study its applicability in China’s capital markets.This paper elaborates the conception of the indexing investment, the advantages of indexing investment and the process of indexing development, then analyses the conception of tracking error and the traditional measure of tracking error. Then we choose50ingredients stocks of Shanghai Index180as the optimized objects, technically construct the optimal index investment portfolio by minimizing five kind of objective functions, and test the achievements of our portfolio by using out of the sample data. Finally we introduce the linear tracking error model--the mean absolute deviation model, and we build a linear programming model with the transactional costs. In the model, we talk about the rebalancing of tracking portfolio, the budgetary constraints and position constraints. Then according to different preferences on tracking error and transaction costs, we establish a multi-objective model of the index tracking problem. At last, we discusses the regular rebalancing and non-rebalancing of the tracking portfolio. The main conclusions are as follows.(1) By minimizing five kind of objective functions to extract the superiorly weight and the superiorly quantity of ingredient stocks, and test the achievements of our portfolio by using out of the sample data, we find the best index optimization methods that conform to the actual situation of China’s stock market is MAD Model. (2) In the process of rebalancing the tracking portfolio, investors need to consider the transaction costs, tracking error, adjusting frequency of the portfolio, and coordinate these factors. For regular adjustments of the portfolio, we need to weigh the transaction costs and the tracking error, and then choose the proper adjusting time interval to minimize the objective function. For non-regular adjustments of the portfolio, we will select a proper threshold in order to get a better tracking performance.更多还原