资产配置动态优化——基于均值回归的视角  

Asset Allocation Dynamic Optimization——The Perspective Based on Mean-Reversion

作　　者：姚金海[1] 

机构地区：[1]武汉大学社会保障研究中心,湖北武汉430072

出　　处：《贵州师范大学学报（社会科学版）》2010年第1期17-24,共8页Journal of Guizhou Normal University(Social Sciences)

基　　金：国家社科基金项目<基本养老保险个人账户基金市场化管理研究>(08BJY158)

摘　　要：风险管理是一项前瞻性的工作,只有将定量分析的科学性和定性分析的艺术性有机结合,才能最大限度地保证风险管理的有效性。成功的风险管理是在均值回归的哲学指导下通过资产配置的动态优化实现的。投资成功的要义不过是在尊重客观规律的基础上顺应规律,从而坚持在正确的时间、正确的市场进行正确的投资,并且克服人性中一些非理性的弱点,比如说短视、跟风等等。Risk management is the work of a forward - looking, in order to ensure maximum effectiveness＇of risk management, we should combine the science of the quantitative analysis and the art of the qualitative analysis organically. Under the guidance of the philosophy of the mean - reversion, we are able to achieve risk management successfully through dynamic asset allocation. The essence of investment success is conform to the law in the basis of respect for the law, so we can make the right investment choice in the basis of the right time and the right market, and overcome the weaknesses of some non - rational rooted in the hu- man nature, such as myopic behavior and herding behavior.

关 键 词：资产配置 均值回归 风险管理 

分 类 号：F830.59[经济管理—金融学]