关于四因素模型的行业资产配置.pdf

KEY WORDS: Sector allocation, Analytic Hierarchy Process, Forecast of industrys’index future yield , MVO Ⅳ 目 录 摘 要·······························································································V ABSTRACT ·····················································································VII 引 言·······························································································1 1.1 提出行业资产配置·······································································1 1.2 文献综述···················································································2 1.2.1 投资组合理论现代简述···························································2 1.2.2 资产配置理论研究 ································································6 1.2.3 资产配置模型分类及比较 ·······················································7 1.2.4 国内资产配置在行业层面的研究···············································7 1.2.5 四因素模型产生的原因及发展过程···········································8 1.2.6 四因素模型国内外相关文献综述·············································10 1.3 本文的研究思路与工作 ·······························································11 1.4 本章小结··················································································12 第二章 行业资产配置可行性分析···························································13 2.1 必要性分析 ···············································································13 2.2 可行性分析 ···············································································14 2.3 行业资产配置的可行性与必要性实证研究········································14 2.3.1 行业配置实证结果与分析 ······················································15 2.3.2 行业层面中性假定的检验 ······················································16 2.3.3 行业配置中非系统风险的检验 ················································16 2.4 本章小结·········································