资产配置论文基于投资者主观预期的资产配置分析.docVIP

资产配置论文：基于投资者主观预期的资产配置分析 【中文摘要】资产配置是投资过程中最重要的环节之一,也是决定投资组合相对业绩的主要因素。据有关研究显示,资产配置对投资组合业绩的贡献率达到90%以上。方面,在半强势有效市场环境下,投资目标的价格信息、盈利状况、规模,投资品种的特征以及特殊的时间变动因素对投资收益都有影响,因此资产配置可以起到降低风险、提高收益的作用。另一方面,随着投资领域从单一资产扩展到多资产类型、从国内市场扩展到国际市场,单一投资方案难以满足投资者需求,而资产配置可以帮助投资者降低单一资产的非系统性风险,其重要性逐渐凸显。伴随着资产配置需求的产生,马科维茨在1952年提出了均值-方差模型。该模型在实务操作中对预期收益率、方差等参数的预测可信度不高,而且此方法的另一缺陷是均值的微小变化就会引起资产权重的很大变化,因此在实际应用中存在很大的危险性。Black-Litterman模型就是针对均值-方差模型的缺陷进行了修正,并将投资者的主观观点引入到模型中,并得出了新的收益向量。全文共有五章。第一章绪论对研究动机与研究框架做了详细说明；第二章是文献综述,介绍了资产配置模型的研究与发展,包括均值-方差模型的产生以及Black-Litterman模型在全球的应用与发展；第三章着重介绍了本文的研究方法,即Black-Litterman模型的构建、输入变量的确定方法以及模型的推广；第四章针对样本数据做了实证分析,验证了Black-Litterman模型的有效性及稳定性：第五章对模型进行了总结与批判,以及模型仍待发展的地方。 【英文摘要】Asset allocation is one of the most important part of investment and the main factor determining investment portfolio performance. According to some concerned researches show that investment portfolio performance contribution rate of asset allocation is more than 90%.On the one hand,the price information, profitability,scale, breed characteristic and special time changing factor influence investment return under the half complete markets,therefore asset allocation can reduce the risks and increase benefit; on the other hand, with the development of investment area from a single asset to various assets,national markets to international markets, single-base-investment projectscan not meet the requirements of investors, but asset allocation can help them to reduce unsystematic risk from a single asset.Under the demand of asset allocation, Markowitz put forward the mean-variationmodel at first in 1952, which became the classical research method in the correspondingfields and symbolized the beginning of modern portfolio theories.However, the model can not make a high confidence level for the forcast of the “mean” and “variance” in practice,and the other defects of the model is its sensitivity for input variables.Black-Litterman model addresses