本文關(guān)鍵詞：基于優(yōu)化復(fù)制法的黃金ETF組合構(gòu)建研究　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 黃金ETF 實(shí)物金模式 優(yōu)化復(fù)制 跟蹤誤差

【摘要】：從全球基金業(yè)的發(fā)展歷程看，海外各個(gè)投資管理公司紛紛搶占被動(dòng)產(chǎn)品市場(chǎng)以擴(kuò)大自己的資產(chǎn)管理規(guī)模。被動(dòng)產(chǎn)品在中國(guó)雖然起步較晚，但憑借其低費(fèi)率、高透明度的特點(diǎn)得到了迅速發(fā)展，中國(guó)近幾年來以交易所交易基金（ETF）為代表的被動(dòng)產(chǎn)品在數(shù)量以及規(guī)模上均呈現(xiàn)爆發(fā)式增長(zhǎng)，但相比增長(zhǎng)迅速的股票ETF，，黃金ETF遲遲未能在中國(guó)推出。主要源于其產(chǎn)品設(shè)計(jì)的一系列障礙，包括跨市場(chǎng)障礙、跟蹤誤差障礙等。其中，最為關(guān)鍵的障礙來自于被動(dòng)產(chǎn)品競(jìng)爭(zhēng)力的核心——跟蹤誤差。本文研究的最終目的就是通過合理的復(fù)制方式來盡可能擬合黃金走勢(shì)，為黃金ETF的產(chǎn)品設(shè)計(jì)者提供參考。 本文共分五個(gè)章節(jié)，各章節(jié)內(nèi)容簡(jiǎn)介如下： 第一章主要介紹研究的背景以及意義。 第二章介紹黃金ETF的發(fā)展、優(yōu)勢(shì)，并對(duì)其在國(guó)內(nèi)發(fā)展障礙進(jìn)行分析，得出國(guó)內(nèi)黃金ETF發(fā)展的障礙為法律障礙以及跟蹤誤差控制。 第三章介紹了本文所應(yīng)用的方法模型。指出優(yōu)化復(fù)制法是黃金ETF指數(shù)較好的選擇。 第四章基于第三章的理論基礎(chǔ)，以AU99.95為實(shí)物標(biāo)的，構(gòu)建完全復(fù)制組合以及優(yōu)化復(fù)制組合2大類共計(jì)3種模擬組合進(jìn)行實(shí)證檢驗(yàn)比較。 第五章總結(jié)與展望。總結(jié)全文的研究結(jié)論，提出不足。
[Abstract]:From the development of the global fund industry, the overseas investment management companies have to seize the passive product market to expand their scale of asset management products in the China. Passive although late, but by virtue of its low rate, high transparency has been developing rapidly in recent years, China in exchange traded funds (ETF) passive products as the representative of the showed explosive growth in quantity and scale, but compared to the rapid growth of the stock of ETF, gold ETF the delay in the launch. China comes mainly from the product design of a series of obstacles, including cross market disorder, the tracking error problems. Among them, the most key obstacles come from passive products competitiveness: tracking error. The ultimate purpose of this study is to fit as much as possible the gold trend by copying the reasonable, provide a reference for the gold ETF product designers.
This article is divided into five chapters, and the contents of each chapter are as follows:
The first chapter mainly introduces the background and significance of the study.
The second chapter introduces the development and advantages of gold ETF, and analyzes its development obstacles in China, and draws the conclusion that the obstacles to the development of gold ETF are legal obstacles and tracking error control.
The third chapter introduces the method model used in this paper. It is pointed out that the optimal replication method is a better choice for the gold ETF index.
The fourth chapter, based on the theoretical basis of the third chapter, takes AU99.95 as the object object, and constructs 2 replicate combinations and 2 replicate combinations.
The fifth chapter summarizes the conclusion and prospects, summarizes the research conclusions of the full text, and puts forward the shortcomings.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1422437