基于系统性风险角度的基金资产配置策略分析  

Analysis of fund asset allocation strategy based on systematic risk

作　　者：孙晨阳 汪雪琪 王雪 SUN Chen-yang;WANG Xue-qi;WANG Xue(School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Anhui Bengbu 233030,China;School of Economics,Anhui University of Finance and Economics,Anhui Bengbu 233030,China)

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030 [2]安徽财经大学经济学院,安徽蚌埠233030

出　　处：《齐齐哈尔大学学报（自然科学版）》2021年第5期81-86,共6页Journal of Qiqihar University(Natural Science Edition)

基　　金：国家自然科学基金(71974001);安徽省教研项目(2018jyxm1305);安徽财经大学教研项目(acjyyb2020011)。

摘　　要：为从系统性风险角度分析基金资产配置策略,首先利用ARMA模型预测股票价格,并构建线性规划模型确立最优的股票投资组合策略。其次综合考虑每家公司配置资产时的收益和风险,构建马科维茨投资组合模型和投资效用-VaR平衡模型,给出最优投资组合策略下的投资效用以及风险价值。最后建立了基于聚类分析的相似性度量模型分析其公司间资产配置的相似性。In order to analyze the fund asset allocation strategy from the perspective of systemic risk,this article uses the ARMA model to predict stock prices,and constructs a linear programming model to establish the optimal stock investment portfolio strategy.Secondly,comprehensively consider the income and risks of each company's asset allocation,construct the Markowitz portfolio model and the investment utility-VaR balance model,and give the corresponding investment utility and risk value under the optimal portfolio strategy.Finally,a similarity measurement model based on cluster analysis is established to analyze the similarity of asset allocation among companies.

关 键 词：ARMA 马科维茨 VAR 聚类分析 相似性 

分 类 号：F832.52[经济管理—金融学] F224