基金公司动态资产配置策略研究-管理科学工程专业论文.docxVIP

西南交通大学硕士研究生学位论文 西南交通大学硕士研究生学位论文 第1页 摘要 iF券投姿基金是证券市场最主要的机构投资者，对证券投资基金姿产配 置策略的研究，对于我国发展合格的机构投资者以及对证券市场的安全稳定 运行都具有重要的现实意义。 本文针对基余公司资会量大、运作规范、专家管理的特点，对基会公司 资产配置的策略进行了探讨，并对动态资产配置策略进行了较为深入的研究。 首先，从投资基金的概念入手，论文回顾了投资基金的起源和发展，论 述了我幽投资基金的发展现状和发展方向。 其次，论文从风险——收益模型的角度，较为系统地论述了历史分析法 和市场综合分析法两种基本的资产配置方法。接下来重点对资产配置策略进 行了较为深入的研究，针对动态资产配置的三种不同策略(买入并持有策略、 恒定混合策略、恒定比例投资组合保险策略)进行了相应的分析说明，并结 合我图证券市场对三种策略在不同时间段表现的优劣进行了实证对比研究。 论文对战术性资产配置(主要是证券的投资策略)也进行了较为深入的探讨。 最后，总结了论文的研究意义，内容和方法。本文的创新点是结合了我 国证券市场，对动态资产配置策略的实际效果进行了对比研究，得出了和理 论-一～致的结论，即动态资产配置策略的优劣因市场环境的不同而不同，没有 绝对的好坏之分，应根据市场情况灵活运用。 关键词： 基金公司 资产配罱 证券投资基金 ．曼查奎堕查兰堡主堡窒生兰焦笙窒 ．曼查奎堕查兰堡主堡窒生兰焦笙窒 篁!!垂 Abstract It is well known that securities investment funds are the key roles in institutional investor．So the study of strategies of asset allocation of securities investment fund company is very important for the development of institutional investor and stable operation ofChinese stock market． According to the characteristics of securities investment fund company,the thesis discuss the strategies of asset allocation of securities investment fund company,and thoroughly study the dynamic strategies of asset allocation of sec嘶ties investment fund． First，the origin and development of securities investment fund is reviewed and the status in quo and directions of Chinese securities investment fund is also discussed． Second，the thesis carried out a research systematically on two basic ways and three kinds of strategies of asset allocation of security investment fimd company．The three kinds of strategies are Strategic Asset Allocation，Dynamic Asset Allocation and Tactical Asset Allocation．Specially,the thesis deeply carried a research into three kinds of dynamic asset allocation strategies，and study the difference and advantages of the three kinds of dynamic strategies by choosing Yuyang Fund in Chinese stock market． Last the research meaning，contents，methods and innovation of the thesis are summarized． The innovation of the thesis is that，based on the em