我国资本市场加速开放背景下的全球股票资产配置策略实证研究
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摘要
在我国资本市场加快开放步伐的背景下,如何构建有效的国际资产配置组合已经是一个具有现实意义的迫切问题。针对均值方差理论,采用非传统理性预期的风险偏好度量方法,完成投资者新投资偏好基础上的投资组合的实证研究。研究结论如下:从收益率特征来看:组合的收益率高于单一资产收益率或者持平,且风险相对其他单一资产而言要小;从资产配置类型来看:对于所有类型投资者而言,标普500都是最受青睐的资产;沪深300作为新兴市场指数,在国际配置中的比例几乎为0;从资产配置比例来看:随着投资者风险偏好水平递增,投资者资产配置趋于单一的高收益资产;相反,随着投资者风险厌恶程度的增加,投资者趋于分散化投资。
Under the background of accelerating the opening of China's capital market,how to construct an effective international asset allocation portfolio has become an urgent problem. As to the Mean-Variance Theory,this paper adopts the risk preference measurement method with unconventional rational expectation to complete the empirical study on investment portfolio on the new investment preference of investors. The research conclusions are as follows: seen from the feature of rate of return: the portfolio has a higher or neutral rate of return compared with the single assets,and has a relatively small risk than other single assets; seen from the asset allocation types: for all types of investors,S&P 500 is the most favored asset; CSI 300,as an Emerging Market index,accounts for around0 percent in the international allocation; seen from the asset allocation proportion: with the increase of risk preference level of investors,the investors tend to place the asset allocation in single high-return asset; on the contrary,with the increase of risk aversion level of investors,the investors tend to conduct diversified investment.
Under the background of accelerating the opening of China's capital market,how to construct an effective international asset allocation portfolio has become an urgent problem. As to the Mean-Variance Theory,this paper adopts the risk preference measurement method with unconventional rational expectation to complete the empirical study on investment portfolio on the new investment preference of investors. The research conclusions are as follows: seen from the feature of rate of return: the portfolio has a higher or neutral rate of return compared with the single assets,and has a relatively small risk than other single assets; seen from the asset allocation types: for all types of investors,S&P 500 is the most favored asset; CSI 300,as an Emerging Market index,accounts for around0 percent in the international allocation; seen from the asset allocation proportion: with the increase of risk preference level of investors,the investors tend to place the asset allocation in single high-return asset; on the contrary,with the increase of risk aversion level of investors,the investors tend to conduct diversified investment.
引文
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[2]陈小新.全球市场环境下中国投资者资产配置管理研究[D].上海:同济大学,2008.
[3]吴佳.中国投资者金融资产国际化投资问题研究[D].上海:同济大学,2008.
[4]郑振龙,陈蓉,王磊.汇率相关性的预测与全球资产配置[J].国际金融研究,2015(3):76-87.
[5] BERGIN P R,PYUN J H. International Portfolio Diversification and Multilateral Effects of Correlations[J]. Journal of International Money&Finance,2016,62:52-71
[6]刘梦洁.考虑市场情绪下的全球资产动态配置策略研究[J].经济论坛,2017,558(1):59-62.
[7] BESSLER W,OPFER H,WOLF D. Multi-asset Portfolio Optimization and Out-of-sample Performance:An Evaluation of BlackLitterman,Mean-variance,and Naive Diversification Approaches[J]. The European Journal of Finance,2017,23(1):1-30
[8]张月.基于Black-Litterman模型的QDII基金全球资产组合优化配置研究[D].哈尔滨:哈尔滨工业大学,2014:63.
[9] HERSH S,MEIR S. Behavioral Portfolio Theory[J]. Journal of Financial and Quantitative Analysis,2000,35(2):25.
[10]张金清.非理性条件下的风险偏好与投资选择研究[J].管理评论,2004(12):10-18.
[11] JORION P. Risk Management Lessons from Long-Term Capital Management[J]. European Financial Management,2000,6(3):277-300.