本文關(guān)鍵詞： 被動(dòng)復(fù)制指數(shù)型分級(jí)基金 折溢價(jià) 障礙期權(quán) 行為金融　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：分級(jí)基金發(fā)展至今已有近7年時(shí)間,從最初的一些設(shè)計(jì)條款較為復(fù)雜的難以被投資者接受的分級(jí)基金逐步向前發(fā)展,隨后是一些被動(dòng)復(fù)制指數(shù)型的分級(jí)基金成為主流,直到目前市場(chǎng)上最新出現(xiàn)的多空分級(jí)基金,分級(jí)基金無(wú)疑為證券市場(chǎng)上喜好風(fēng)險(xiǎn)的投資者提供了更多的選擇。分級(jí)證券投資基金,簡(jiǎn)稱(chēng)分級(jí)基金,實(shí)際上是將同一個(gè)基金產(chǎn)品進(jìn)行了結(jié)構(gòu)化分級(jí),不同份額享有不同收益風(fēng)險(xiǎn)的一種創(chuàng)新型的基金產(chǎn)品,創(chuàng)新點(diǎn)主要在于一種產(chǎn)品的兩種份額能夠同時(shí)滿(mǎn)足市場(chǎng)上不同風(fēng)險(xiǎn)偏好的投資者,通過(guò)產(chǎn)品內(nèi)部?jī)煞N份額的風(fēng)險(xiǎn)轉(zhuǎn)移,達(dá)到該產(chǎn)品最終的風(fēng)險(xiǎn)平衡。本篇論文試圖解答當(dāng)前分級(jí)基金市場(chǎng)上一個(gè)非常有趣的想象：分級(jí)基金的A份額收盤(pán)價(jià)總是折價(jià)交易,而B(niǎo)份額總是溢價(jià)交易。帶著這個(gè)問(wèn)題出發(fā),本文首先將研究對(duì)象縮小為當(dāng)前分級(jí)基金市場(chǎng)上設(shè)計(jì)條款最主流,相對(duì)于投資者來(lái)講最容易理解、也最容易被接受的被動(dòng)復(fù)制指數(shù)型分級(jí)基金,通過(guò)對(duì)這類(lèi)分級(jí)基金設(shè)計(jì)條款的介紹與研究,試圖利用蒙特卡洛模擬的方法對(duì)隱含在這類(lèi)分級(jí)基金中的障礙期權(quán)進(jìn)行定價(jià),最后,在剔除障礙期權(quán)因素的影響下,從行為金融學(xué)的角度出發(fā),將能夠反映投資者情緒的一些指標(biāo)對(duì)分級(jí)基金B(yǎng)份額的溢價(jià)率進(jìn)行回歸分析,試圖從投資者心理和情緒的角度解釋分級(jí)基金B(yǎng)份額總是溢價(jià)的現(xiàn)象。本篇論文使用的方法為蒙特卡洛模擬為障礙期權(quán)定價(jià),數(shù)據(jù)來(lái)源為wind金融數(shù)據(jù)庫(kù),結(jié)論是B份額溢價(jià)率一方面是由B份額隱含的障礙期權(quán)決定的,另-方面是由投資者情緒如處置效應(yīng)和賭徒的謬誤所影響的。
[Abstract]:Classification funds have been developed for nearly 7 years, from the initial design terms are more complex and difficult to be accepted by investors. Then came the passive replication of index-based rating funds into the mainstream until the market is the latest long-short rating funds. Graded funds undoubtedly provide more choices for risk-loving investors in the securities market. Classified securities investment funds, referred to as hierarchical funds, are actually structured classification of the same fund products. Different shares enjoy different income risk of an innovative fund product, the innovation point is that the two shares of one product can meet different risk preferences of investors in the market at the same time. Risk transfer through two shares within the product. To achieve the ultimate risk balance of the product. This paper attempts to answer a very interesting imagination in the current graded fund market: the A share closing price of the graded fund always trades at a discount. B share is always trading at a premium. With this problem, this paper first reduces the research object to the most mainstream design terms in the current hierarchical fund market, compared with investors, the most easily understood. It is also the most easily accepted passive replication index classification fund, through the introduction and research of the design terms of this kind of classification fund. This paper attempts to use Monte Carlo simulation method to price the barrier options hidden in this kind of classified funds. Finally, under the influence of excluding obstacle options, we proceed from the perspective of behavioral finance. Some indicators reflecting investor sentiment will be used to analyze the premium rate of B share of graded funds. This paper attempts to explain the phenomenon that B share of graded funds is always at a premium from the perspective of investor psychology and emotion. The method used in this paper is Monte Carlo simulation for the pricing of barrier options, and the source of the data is wind financial database. The conclusion is that the B share premium rate is determined by the implied barrier option of B share on the one hand, and on the other hand by investor sentiment such as disposition effect and gamblers' fallacy.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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相關(guān)期刊論文 前1條

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本文編號(hào)：1471069