基于配对策略的基金动态资产配置  

Dynamic Asset Allocations of Funds Based on Pair Trading Strategy

作　　者：傅毅[1] 张寄洲[1] 郭润楠 FU Yia ZHANG Jizhoua GUO Runnanb(a. School of Finance and Busines b. College of Mathematics ＆ Science, Shanghai Normal University, Shanghai 200234, China)

机构地区：[1]上海师范大学商学院,上海200234 [2]上海师范大学数理学院,上海200234

出　　处：《系统管理学报》2017年第5期879-887,共9页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71471117);教育部人文社会科学研究青年基金资助项目(17YJCZH044);上海市教委科研创新重点项目(13ZZ107);上海师范大学自科项目(SK201506)

摘　　要：作为市场中性策略的一种,配对交易早已被广泛应用于各类基金的投资实践。考虑基金管理者将总资产分别配置于风险资产与无风险资产,其中风险资产采用配对策略,假设风险资产价差服从指数O-U过程,基于最优投资组合理论,研究了不同市场环境、风险偏好下的最优投资组合动态资产配置策略。以投资到期效用期望最大化为目标,运用动态规划原理,得到了最优动态资产配置策略所满足的HJB方程,通过Legendre转换和分离变量法求得了该非线性方程的显式解,并证明了该显式解的相关性质。为了检验该配置策略的有效性,对我国A股市场的"中国太保"和"国海证券"进行了策略的情景模拟,通过最小二乘法和最大似然估计得到模型中的各项参数,并对2016-03-16~2016-04-29的实盘数据进行模拟交易,得到了该配对下的最优资产配置策略。最后,对A股各行业股票进行了全量模拟,计算了各行业的平均配对收益率,验证了本模型结果的稳健性。As one of market neutral strategies,pair trading has been widely adopted by many institutional investors and hedge funds.This paper assumed the fund manager divided the total capital into two parts,one part was invested into risk-free assets and the other part was invested into risk assets with pair trading strategy.The spread was considered as an exponential O-U process,and the dynamic assets allocation of funds was studied under different market environments and risk appetite on the basis of optimal portfolio theory.Our goal is to determine the allocation policies to maximize the expected utility of the terminal wealth.By using dynamic programming principle,we obtained the HJB equation of the model as well as the explicit form of the solution to this non-linear equation.Furthermore,we derived the relevant property of the explicit solution.In order to testify the effectiveness of this optimal strategy,we explored ＂China Pacific Insurance＂and ＂Sealand Securities＂in Chinese A-share market.The main parameters of the model were obtained by least square estimation and maximum likelihood estimation.As a consequence,we implemented the optimal allocation strategy by using stock data from 2016-03-16 to 2016-04-29.Finally,the robustness of the model was also verified by computing the average yields according to their industry categories.

关 键 词：配置策略 指数奥恩斯坦-乌伦贝克过程 配对交易 HJB方程 

分 类 号：G11[文化科学]