本文選題：指數(shù)跟蹤 + 動態(tài)調(diào)整��； 參考：《東北大學(xué)》2012年碩士論文

【摘要】：指數(shù)化投資產(chǎn)生于20世紀70年代,經(jīng)過近40年的發(fā)展,已經(jīng)成為世界范圍內(nèi)的主要投資策略和投資方法之一。作為一種被動式的投資策略,指數(shù)化投資以復(fù)制和跟蹤某一市場指數(shù)為目標(biāo),通過充分分散化投資組合來獲取市場的平均收益率。它既沒有積極基金管理的超額風(fēng)險,也沒有時機選擇的限制,而且具有風(fēng)險小、費用低、流動性高等優(yōu)點,因此,探索指數(shù)化投資的投資模式及操作方法,對我國資本市場的發(fā)展具有重要的現(xiàn)實意義。 本文圍繞指數(shù)化投資這個主題,闡述了指數(shù)化投資的產(chǎn)生背景、指數(shù)化投資的優(yōu)勢及理論基礎(chǔ),并以跟蹤誤差為主線,介紹了跟蹤誤差的含義及計量跟蹤誤差的主要指標(biāo),然后通過最小化5種優(yōu)化方法的跟蹤誤差,求得50只成分股票的最優(yōu)權(quán)重,利用這5種優(yōu)化組合進行了樣本外的績效檢驗,并對檢驗結(jié)果進行了比較。最后以平均絕對偏差模型為基礎(chǔ),根據(jù)投資者對跟蹤誤差和交易費用的不同偏好,建立了帶比例交易費用的線性規(guī)劃模型,在模型中考慮了預(yù)算限制、持倉限制等約束條件,并利用該模型對跟蹤組合的定期調(diào)整問題和不定期調(diào)整問題進行了研究。主要結(jié)論如下。 (1)通過對5種優(yōu)化方法構(gòu)造的最優(yōu)組合進行樣本外績效檢驗時,發(fā)現(xiàn)比較適合我國證券市場實際情況的指數(shù)優(yōu)化模型是MAD模型。 (2)在對投資組合進行動態(tài)調(diào)整時,需要綜合考慮交易費用、跟蹤誤差、調(diào)整頻率等因素,并對這些因素進行平衡和協(xié)調(diào)。當(dāng)對投資組合進行定期調(diào)整時,要綜合考慮交易成本和跟蹤誤差兩個因素,選擇合適的調(diào)整時間間隔,使得目標(biāo)函數(shù)最小化；在對投資組合進行不定期調(diào)整時,需要選擇合適的調(diào)整閾值,對投資組合進行調(diào)整,以便得到較好的跟蹤效果。
[Abstract]:Indexed investment emerged in the 1970s. After nearly 40 years of development, it has become one of the main investment strategies and methods in the world. As a passive investment strategy, the indexed investment aims at copying and tracking a market index, and obtains the average return rate of the market by fully diversifying the portfolio. It has neither the excess risk of active fund management nor the limitation of timing, but also has the advantages of low risk, low cost and high liquidity. Therefore, it explores the investment mode and operation method of indexed investment. The development of our country's capital market has important practical significance. Based on the subject of indexed investment, this paper expounds the background, advantages and theoretical basis of indexed investment, and introduces the meaning of tracking error and the main index of measuring tracking error, taking the tracking error as the main line. Then, by minimizing the tracking error of the five optimization methods, the optimal weights of 50 stocks are obtained, and the performance tests outside the samples are carried out using these five optimal combinations, and the results are compared. Finally, based on the average absolute deviation model, according to investors' different preferences for tracking error and transaction cost, a linear programming model with proportional transaction costs is established. The constraints such as budget constraints and position constraints are considered in the model. The model is used to study the periodic adjustment problem and the irregular adjustment problem of tracking combination. The main conclusions are as follows. 1) MAD model is the index optimization model which is more suitable for the actual situation of China's securities market when the performance of the optimal combination constructed by five optimization methods is tested outside the sample. 2) in the dynamic adjustment of the investment portfolio, the factors such as transaction cost, tracking error and adjusting frequency should be considered comprehensively, and these factors should be balanced and coordinated. When the portfolio is adjusted periodically, the transaction cost and tracking error should be considered synthetically, and the appropriate adjustment time interval should be chosen to minimize the objective function. It is necessary to select the appropriate adjustment threshold and adjust the portfolio to get better tracking effect.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.59;F224;F832.51

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