【摘要】：傳統(tǒng)金融學(xué)研究在運(yùn)用樣本數(shù)據(jù)計(jì)算不同期限組合收益和方差時(shí),通常會(huì)任意選取一個(gè)樣本標(biāo)度來(lái)對(duì)多標(biāo)度投資組合績(jī)效進(jìn)行度量,這一簡(jiǎn)單的處理實(shí)際上隱含了時(shí)間標(biāo)度與組合期望收益和方差相互獨(dú)立的假設(shè)。而在現(xiàn)實(shí)投資實(shí)踐中,由于投資環(huán)境的復(fù)雜性,導(dǎo)致投資者需要不斷調(diào)整資產(chǎn)的投資期限,造成投資者在進(jìn)行跨期組合績(jī)效測(cè)度時(shí)經(jīng)常忽視時(shí)間標(biāo)度對(duì)組合績(jī)效的影響效應(yīng),進(jìn)而使投資決策產(chǎn)生由于基準(zhǔn)時(shí)間標(biāo)度任意選擇而引起的非系統(tǒng)誤差。因此,如何對(duì)多標(biāo)度投資組合績(jī)效進(jìn)行合理測(cè)度是金融經(jīng)濟(jì)學(xué)領(lǐng)域中具有較高現(xiàn)實(shí)意義的研究問(wèn)題之一。 論文主要對(duì)多標(biāo)度條件下的投資組合績(jī)效測(cè)度非系統(tǒng)誤差進(jìn)行實(shí)證分析并對(duì)其校正進(jìn)行探討。首先從理論分歧與投資實(shí)踐困惑兩個(gè)角度出發(fā),提煉論文研究的價(jià)值和意義,并提出相應(yīng)的研究思路和方法。其次從跨期投資組合績(jī)效度量、金融市場(chǎng)多標(biāo)度研究框架以及投資期限與組合績(jī)效關(guān)系三個(gè)方面出發(fā),對(duì)金融學(xué)關(guān)注的投資期限、投資組合績(jī)效以及績(jī)效測(cè)度三大核心問(wèn)題進(jìn)行邏輯綜述。在多標(biāo)度投資組合夏普比率計(jì)算改進(jìn)基礎(chǔ)上,分時(shí)間標(biāo)度大于基準(zhǔn)標(biāo)度(TkT0)和時(shí)間標(biāo)度小于基準(zhǔn)標(biāo)度(TkT0)兩種情況對(duì)理論與實(shí)際SR值之間的非系統(tǒng)誤差進(jìn)行對(duì)比,發(fā)掘非系統(tǒng)誤差規(guī)律特征。最后對(duì)多標(biāo)度投資組合績(jī)效誤差校正函數(shù)設(shè)計(jì)及有效前沿獲取進(jìn)行探討,通過(guò)設(shè)計(jì)非系統(tǒng)誤差關(guān)于時(shí)間標(biāo)度T的校正函數(shù),以滬深300指數(shù)為例對(duì)誤差校正函數(shù)的實(shí)際校正效果進(jìn)行比較,并基于校正誤差函數(shù)獲取投資組合績(jī)效單標(biāo)度和多標(biāo)度有效前沿。實(shí)證結(jié)果分析表明：在TkT0條件下,GTSR RSR,且而當(dāng)TkT0時(shí),RSRGTSR,存在基于二項(xiàng)式擬合誤差函數(shù)比基于泰勒展開(kāi)獲得的誤差函數(shù)校正效果更為理想,多標(biāo)度有效前沿隨著時(shí)間標(biāo)度擴(kuò)大呈現(xiàn)出非線性特征。 通過(guò)對(duì)多標(biāo)度投資組合績(jī)效度量誤差研究,采用滬深300指數(shù)對(duì)組合績(jī)效測(cè)度存在的非系統(tǒng)誤差進(jìn)行實(shí)證分析,并提出相應(yīng)的誤差校正思路和方法,旨在校正投資者在多標(biāo)度投資組合績(jī)效測(cè)度過(guò)程中產(chǎn)生的非系統(tǒng)誤差,進(jìn)而正確指導(dǎo)投資決策和風(fēng)險(xiǎn)管理。
[Abstract]:When using sample data to calculate income and variance of portfolio with different maturity, traditional finance studies usually choose a sample scale to measure the performance of multi-scale portfolio. This simple treatment actually implies the assumption that time scales are independent of portfolio expected returns and variances. In the real investment practice, because of the complexity of the investment environment, investors need to adjust the investment duration of the assets constantly, which results in the investors often ignore the effect of time scale on portfolio performance when they measure the cross-term portfolio performance. Furthermore, investment decision-making results in non-systematic error caused by arbitrary selection of reference time scale. Therefore, how to measure the performance of multi-scale portfolio reasonably is one of the research problems with high practical significance in the field of financial economics. This paper mainly analyzes the non-systematic error of portfolio performance measure under multi-scale conditions and discusses its correction. First of all, from the perspective of theoretical divergence and investment practice confusion, the value and significance of the study are refined, and the corresponding research ideas and methods are put forward. Secondly, from three aspects: cross-term portfolio performance measurement, financial market multi-scale research framework and the relationship between investment duration and portfolio performance, this paper focuses on the investment duration of finance. The three core issues of portfolio performance and performance measurement are summarized logically. On the basis of improved Sharp ratio calculation of multi-scale portfolio, the non-systematic errors between the theoretical and actual SR values are compared in the case that the time scale is larger than the benchmark scale (TkT0) and the time scale is less than the benchmark scale (TkT0). Explore the characteristics of non-systematic error law. Finally, the design of performance error correction function of multi-scale portfolio and the acquisition of effective frontier are discussed, and the correction function of non-systematic error about time scale T is designed. Taking Shanghai-Shenzhen 300 index as an example, the actual correction effect of error correction function is compared, and the effective frontier of portfolio performance card scale and multi-scale is obtained based on correction error function. The empirical results show that the error function based on binomial fitting in RSRGTSR, is better than the error function based on Taylor expansion in the case of, GTSR RSR, in TkT0 and when TkT0 is in existence, and the correction effect of error function based on Taylor expansion is better than that in the case of Taylor expansion. With the expansion of time scale, the effective frontier of multi-scale presents nonlinear characteristics. Through the research of multi-scale portfolio performance measurement error, this paper uses the Shanghai-Shenzhen 300 index to analyze the non-systematic error of portfolio performance measure, and puts forward the corresponding error correction ideas and methods. The purpose of this paper is to correct the non-systematic errors produced by investors in the process of multi-scale portfolio performance measurement so as to guide the investment decision-making and risk management correctly.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.59;F224

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