本文選題：投資組合 + 多因素　； 參考：《東北大學(xué)》2012年碩士論文

【摘要】：上世紀(jì)80年代末90年代初,我國的證券市場(chǎng)開始慢慢形成。二十年來,我國的證券總體規(guī)模逐步提升,形成了一個(gè)較為完善的系統(tǒng)。然而金融市場(chǎng)規(guī)模龐大,極為復(fù)雜,其中每一項(xiàng)投資活動(dòng)都具有較高的風(fēng)險(xiǎn)性,各項(xiàng)資產(chǎn)收益也具有較高的不確定性。許多投資者不能夠正確的認(rèn)識(shí)投資的風(fēng)險(xiǎn),盲目入市,最后導(dǎo)致投資失敗。其失敗的重要的原因是投資者本身缺乏科學(xué)的投資策略,風(fēng)險(xiǎn)意識(shí)淡薄。如何將投資的資金進(jìn)行合理的資產(chǎn)投資,能夠在股市出現(xiàn)價(jià)格的較大波動(dòng)時(shí),投資者不至于遭受重大損失,或者能夠保證一定的收益,成為眾多投資者投資的核心問題。 鑒于上述,本文在Markowitz均值-方差理論的基礎(chǔ)上,結(jié)合Goldfarb和Iyengar是出的多因素因子模型,建立了本文的基于多因素收益預(yù)測(cè)的均值-方差投資組合優(yōu)化模型,并選取一家業(yè)績(jī)較好的封閉式基金作為研究對(duì)象進(jìn)行實(shí)證分析。首先,本文就經(jīng)典的投資組合理論進(jìn)行概述,并同時(shí)對(duì)本文運(yùn)用的主成分分析方法和多元線性回歸方法進(jìn)行了概述。其次,利用主成分分析的方法對(duì)選定的六個(gè)大盤指數(shù)進(jìn)行整合,得到第一因子與第二因子,并應(yīng)用到多因素因子模型當(dāng)中,得到參數(shù)期望收益μ與影響系數(shù)V的估計(jì)值,同時(shí),運(yùn)用無偏估計(jì)的方法得到收益的殘差方差D。之后利用2008-2011年的大成優(yōu)選的資產(chǎn)組合的數(shù)據(jù),得到資產(chǎn)組合的優(yōu)化權(quán)重,并將其與基金的實(shí)際權(quán)重進(jìn)行對(duì)比分析,得到優(yōu)化的收益率要比實(shí)際收益率高。最后,總結(jié)全文并分析本文研究不足,確定下一步研究方向。
[Abstract]:In the late 80s and early 90s of last century, the securities market of our country began to form slowly. In the past twenty years, the overall scale of our securities has been gradually improved, and a more perfect system has been formed. However, the scale of the financial market is huge and very complex, and every investment activity has high risk, and the income of each asset is also high. Uncertainty. Many investors can not correctly understand the risk of investment, blindly enter the market, and finally lead to the failure of investment. The important reason for the failure is that the investors themselves lack scientific investment strategy and the risk consciousness is weak. How to invest the capital in a reasonable asset investment can be put into the stock market when the price fluctuates greatly. Investors will not suffer heavy losses, or they can guarantee certain profits, which will become the core issue for many investors.
In view of the above, on the basis of the Markowitz mean variance theory and the multi factor factor model of Goldfarb and Iyengar, this paper establishes the mean variance portfolio optimization model based on the multi factor income prediction, and selects a closed basis gold as the research object. The classic portfolio theory is summarized, and the principal component analysis method and multiple linear regression method used in this paper are summarized. Secondly, the first and second factors are obtained by using the method of principal component analysis to obtain the first and second factors, and apply to the multi factor factor model, and get the reference of the six factors. The expected value of the number of expected returns and the estimated value of the influence coefficient V. At the same time, using the unbiased estimation method to get the residual variance D. of the income, the optimum weight of the portfolio is obtained by using the data of 2008-2011 years' large optimal portfolio, and the comparison analysis is made with the actual weight of the fund, and the optimized return rate is better than the actual income. Finally, summarize the full text and analyze the deficiencies of this study, and determine the next research direction.

【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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