【作者】 陈小新；

【导师】 陈伟忠；

【作者基本信息】 同济大学 ， 技术经济及管理， 2008， 博士

【摘要】 本文针对中国投资者在全球市场环境下进行资产配置所可能遇到的几个问题展开研究。首先是全球化投资对于中国投资者的意义。主要从理论和实证两个方面研究了全球化投资组合对于投资者控制投资风险、提高风险管理水平的作用,以及在当前的宏观经济金融环境下促进全球化投资对于中国整体经济健康发展的积极意义。其次是全球资产配置中的市场分散化与行业分散化策略。主要通过对当前全球经济金融一体化环境下市场分散化与行业分散化策略的比较,提出中国投资者在进行国际化资产配置时的总体策略。研究结果表明,对于将中国资产作为其核心资产的中国投资者而言,将国外资产引入投资组合能够显著地改善投资组合的整体风险收益特征;同时,随着国际上主要证券市场之间的相关性日益增强,应当综合采用“行业分散化”和“市场分散化”策略。第三是动态资产配置模型及其在国际化资产配置中的应用。引入基于随机规划方法的多阶段动态资产配置模型,并应用该模型对中国投资者在全球市场进行资产配置的几种组合策略进行分析。研究结果表明,多阶段的动态资产配置方法是在全球金融市场进行资产配置的重要方法,但其应用效果受到许多因素的制约或影响;其中,情景元素生成模型对其投资绩效起着关键性的作用。采用动态资产配置模型进行的分析结果显示,目前采用“中国市场指数+全球行业指数组合”模式对于提高中国投资者的投资组合的整体风险收益特征相对最为有效。在全球市场环境下应用动态资产配置模型的一个重要前提条件是对资产收益之间的动态关系进行深入研究。本文研究了中国证券市场国际相关性的动态特征,以及全球市场中资产收益相关性在不同收益状况和不同波动状况下的变化特征。研究结果表明,近年来中国证券市场的国际相关性在总体上呈增长趋势,但各行业国际相关性的分化也越来越明显。在全球市场中,无论在发达市场还是新兴市场,资产收益之间的动态关系的变化是不对称的,突出表现在资产收益率的相关系数呈现“低收益率伴随高相关性”的特点;同时,资产收益率之间存在一定程度的“协同性”,即当一种资产的波动率提高时,另一种资产与其之间的相关性也会提高。而投资组合中的商品资产能有效地改善组合中资产收益之间的动态关系,从而能在某种程度上提升组合的投资绩效。汇率风险控制是全球资产配置中的另一个重要课题。本文分别从持有美元的投资者、持有人民币的投资者以及持有部分亚洲主要新兴市场(新加坡、韩国及中国台湾)货币的投资者的角度,研究在国际化投资组合管理中汇率风险控制机制的有效性。研究结果表明,在不同的市场环境下采用汇率风险对冲策略对于投资绩效的影响是不同的,而过于严格的投资约束可能使得汇率风险对冲策略难以发挥作用。在人民币现行汇率机制及目前的汇率变化趋势下,中国投资者在进行国际化资产配置时,如果将目标市场定位为国际上主要的发达市场,则只有在投资者极端风险厌恶的条件下,人民币汇率风险才会对投资绩效产生比较明显的影响。而对于亚洲新兴市场投资者而言,当主要在发达市场进行国际化资产配置时,采用不同的汇率风险对冲策略(包括“不对冲策略”)对于投资绩效并没有显著的影响。由于发达市场中资产收益与货币收益的负相关关系,从长期角度来看,在进行资产配置过程中可以不考虑汇率风险的影响。这也就意味着,随着未来中国汇率体系的进一步改革和人民币汇率逐步市场化,在全球化投资中只要遵循充分分散化策略,汇率风险并不会对投资者带来太大的问题。在相关研究的基础上,结合在课题研究过程中自行开发的“国际化资产配置实验平台”,本文探讨了如何将相关的研究成果及模型应用于国际化资产配置,以及在资产配置系统的设计和实现过程中可能遇到的问题。更多还原

【Abstract】 This article focuses on several important topics that a Chinese investor will meet in global portfolio investment.The first one is why a Chinese investor should extend his/her investment opportunities to the glabal markets. This topic is discussed from the view of theory and practice. First, for an individual investor, he/she can improve the proformance of risk management through global portfolio management. Second, for Chinese economy, it is helpful to improve the quality of development in currenct sconomic and financial environment.The second one is the asset allocation policy in global markets. Two diversification methods, market diversification and sector diversification, are tested. The results indicate that if a Chinese investor adds foreign assets into his/her domestic portfolio, the total performance, i.e. the risk-return feature, of the portfolio can be improved greatly. And as the correlations between major markets are increasing, markets diversification and sector diversification should be integrated in asset allocation.The third topic is related to the application of dynamic asset allocation model in international asset allocation. The multistage asset allocation model based on stochastic programming method is introduced, and used to analyze performances of several international portfolios. The empirical tests show that the mentioned multistage allocation model is an effective tool in global asset allocation. However, its effect is impacted by some factors, especially the scenario generation model. The analysis using multistage allocation model on performances of different international portfolios denotes that the portfolio of "Chinese market index + Global sector indices" has the best performance in currenct environment.Reseaching the dynamic correlations between assets is one of the preconditions of applying dynamic asset allocation in global markets effectively. The international correlations of Chinese markets and the correlations between assets in global markets under different return rate levels or different volatility levels are tested. The results show that the international correlation of Chinese market is increasing in recent years, while the differences among sectors are more and more significant. The correlations between assets in global markets change in different conditions. Both in developed markets or emerging markets, when the return rate is in low level, the correlation is in high level. In addition, the comovement exists in correlations to some extent, i.e. when the volatility of one asset increases, the correlation between the two assets also increases. However, the empirical results also show that if commodities are included in portfolios, the dynamic relations of assets in a portfolio may be improved, which leads to higher asset allocation performance.Currency risk emerges when an investor extended his/her investment opportunity set abroad. The effect of currency risk control is discussed in this article from the views of an investor holding US dollar, RMB, or currencies of some Asian emerging markets respectively. It is indicated that the effects of currency risk hedging are different in different markets, and it will be more reduced under too strict constructions. For a Chinese investor, if he/she focuses on developed markets, the currency risk does not impact on his/her investment performance significantly in currenct RMB exchange regime, except for an extreme risk aversion people. This result is also effective for an investor holding currency of Singapore, South Korea, or Taiwan. The mentioned result is derived from the negative correlations between currencies and assets in developed markets, which reduce the impact of currency risk in long term. So it implies that for a Chinese investor, currency risk will not bother him/her very much even if the RMB exchange regime is more freely.Finally, it is discussed how to apply related models and research results in practical asset allocation, with introduction of "International Asset Allocation Tesing Platform" (IAATP). The possible problems may be met in design and implement of dynamic asset allocation system are also discussed.更多还原