多阶段资产配置模型及其在投资基金中的应用

在多阶段资产配置模型基础上,以我国经济背景为依托,用向量自回归模型生成了未来经济发展环境的情景,以安信基金为对象进行了实证研究,并与安信基金实际资产配置进行了比较.可以看出模型的最优期初资产持有结构与安信基金的实际持有结构不同,存款比例增加而风险较大的股票比例减少;由多阶段资产配置模型得到的期望资产价值更高,期望损失成本更小,承担的风险更少.由于模型中考虑了未来各项资产收益、工资变动及物价变动的不确定性,得到了可靠性较高的结果.研究结果证明了此模型在我国基金资产配置中是有效的.

Multistage Asset Allocation Model and Its Application in Security Fund

A multistage asset allocation model is developed for Anxin Fund in China.The vector auto-regression model is used to generate the scenario of China's future economy against the background of her current economic situation.The results show that the initial optimal asset structure in the model developed is different from that of Anxin Fund,i.e.,the proportion of deposit increases while that of stock with higher risk is decreases.The result shows that according to the multistage asset allocation model the expected value of asset will be higher with smaller expected cost due to loss and lower risk in comparison to the actualities of the fund.The model is of comparatively high reliability since it takes account of the uncertainties of future return on assets and wage/price fluctuation.It is proved that the model is efficient to the fund asset allocation in China.