本文選題：指數(shù)跟蹤 + 帶約束有效前沿��； 參考：《山東大學(xué)》2013年碩士論文

【摘要】：指數(shù)化投資以追求達(dá)到與目標(biāo)指數(shù)相似的收益率和交易成本最小化為目的,而非戰(zhàn)勝市場獲得超額收益率,是一種中長期的跟蹤指數(shù)的、被動的投資方式。去年是中國內(nèi)地指數(shù)化發(fā)展十周年。自從2002年成立了我國第一只指數(shù)基金華安上證180,2004年發(fā)行了我國第一只ETF上證50,截至2012年6月底,我國的指數(shù)基金數(shù)量達(dá)到180只,包括43只ETF和37只聯(lián)接基金,資產(chǎn)規(guī)模接近3600億元,ETF規(guī)模達(dá)到了1200億元,成為亞洲重要的ETF市場之一。指數(shù)基金作為一種財富管理工具,為資本市場的健康發(fā)展和服務(wù)實體經(jīng)濟(jì)發(fā)揮了積極作用。隨著未來市場有效性逐步提高,投資者對標(biāo)準(zhǔn)化的金融工具需求逐漸增長,指數(shù)基金具有廣闊的發(fā)展空間。ETF將會在資產(chǎn)配置、風(fēng)險管理、以及精準(zhǔn)投資多種資產(chǎn)類別方面發(fā)揮重要作用。另外指數(shù)化產(chǎn)品嚴(yán)格的決策流程和管理制度,以及定風(fēng)險、高透明、低費用、快交易等優(yōu)點更是得到機(jī)構(gòu)投資者的親睞。在指數(shù)基金的管理運作中,根據(jù)傳統(tǒng)的宏觀面信息對行業(yè)進(jìn)行判斷選股的方法將作為輔助參考,而借助數(shù)理統(tǒng)計學(xué),金融時間序列分析,隨機(jī)控制等理論方法為指導(dǎo)工具的量化投資決策分析將扮演越來越重要的角色,為程序化交易打下基礎(chǔ)。本文簡單引入國外研究者在指數(shù)復(fù)制問題的一個研究方向,而后是分析國內(nèi)的證券市場,運用相關(guān)分析,回歸分析,聚類分析等統(tǒng)計學(xué)知識試圖尋找指數(shù)復(fù)制的投資策略。在第三章的實證分析中運用多種方法,以上證180指數(shù)為目標(biāo)指數(shù),比較分析多種跟蹤方法的結(jié)果,同時給出績效評估。在調(diào)整階段,根據(jù)成份股的變化作出相應(yīng)的策略調(diào)整探討,分析權(quán)重變化對跟蹤誤差和交易成本的影響。
[Abstract]:The goal of indexed investment is to achieve the rate of return similar to the target index and minimize the transaction cost, instead of defeating the market to obtain the excess return. It is a long-term and passive way to track the index. Last year marked the tenth anniversary of China's indexed development. Since the establishment of China's first index fund, Hua-an Shanghai Stock Exchange, in 2002, China's first ETF Shanghai Stock Exchange 50 was issued in 2004. By the end of June 2012, the number of China's index funds has reached 180, including 43 ETF and 37 connected funds. With assets close to 360 billion yuan, ETFs have reached 120 billion yuan, becoming one of the most important ETF markets in Asia. As a kind of wealth management tool, index fund plays an active role in the healthy development of capital market and serving the real economy. With the improvement of market efficiency in the future and the increasing demand of investors for standardized financial instruments, the index funds will have a broad space for development in asset allocation and risk management. And precision investment in a variety of asset classes play an important role. In addition, the strict decision-making process and management system of indexed products, as well as the fixed risk, high transparency, low cost, fast trading and other advantages are favored by institutional investors. In the management and operation of the index fund, the method of judging and selecting stocks according to the traditional macroscopic information will be used as the auxiliary reference, and with the help of mathematical statistics and financial time series analysis, Stochastic control and other theoretical methods will play a more and more important role in the quantitative investment decision analysis of guiding tools and lay the foundation for programmed trading. This paper briefly introduces a research direction of foreign researchers in index replication, and then analyzes the domestic stock market and tries to find the investment strategy of index replication by using statistical knowledge such as correlation analysis, regression analysis, cluster analysis and so on. In the third chapter, we use a variety of methods to compare and analyze the results of various tracking methods and give the performance evaluation, taking the Shanghai Stock Exchange 180 index as the target index. In the adjustment stage, the corresponding strategy adjustment is made according to the change of the component stock, and the influence of the weight change on the tracking error and transaction cost is analyzed.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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