开放基金的卖空及类别配置外文文献翻译3000多字Word格式文档下载.docx
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开放基金的卖空及类别配置外文文献翻译3000多字Word格式文档下载.docx
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原文
TheResearchofOpenFundShortandCategoryConfiguration
BalasubramaniR
Abstract
Theresearchofsecuritiesinvestmentfundbehaviorchoiceisthefocusofthefinancialeconomics,especiallythecategoryoftheopenfundallocationproblem.Assetallocationrefersto,accordingtotherequirementsofinvestorswillinvestfundsareallocatedbetweenthedifferentassetclasses,andthenimplementportfolioriskcertainconditionsthebestreturns.Assetallocationofspecialexplanationisbasedontheestablishedinvestmentproducts,accordingtoinvestors'
appetiteforrisk;
determinetheproportionofvariousassetsinvestment.Therefore,assetallocationandthechoiceofmarkettimingandmarketassetsandcalledthethreekindsofbasicmeansofinvestmentmanagement.Assetallocationisnotonlyenrichedtheearlydiversificationofthought,isnolongerasimpletoavoidrisk,andbreakthroughthetraditionalactiveinvestmentandindexationinvestmentlimited.Accordingtoinvestmentproductssuchasstocksandbondsandotherassetsstatisticalcharacteristic,tobuildaportfolio,effectivelyhedgetherisksandregulation.Sincethe1970s,institutionalinvestorsbegintoapplyalargenumberofmathematicalmodeloftheactualfinancialinvestment,italsomakestheaccuratequantitativethebenefitsandrisks,buildtheassetallocationmodelandenableaneffectiveassetallocation.
Keywords:
openfundinvestmentstrategyriskappetiteresourceconfiguration
1Introduction
Assetallocationincludesnotonlynarrowlyreferredtointhedeterminetheoperationofvariousassetsinvestmentratio,butalsoincludingreal-timemanagementofportfoliorebalancing,includingtheselectassets(alsocalled"
stock"
)andchooseinvestmenttiming(alsoknownas"
optional"
),andotheroperations.Therefore,assetallocationistheprimarypartofthesecuritiesinvestmentdecision,isthebasicfactor,decidedtosecuritiesinvestmentsecurityandincomeinthewholesecuritiesinvestmentdecision-makingprocessplaysaverykeyrole.Themeaningofassetallocationforinvestorsastotheidentityofthedifferentanddifferent,forprofessionalinvestors,assetallocationusuallyrequireresearchinvestmentproducts(suchasstocks,bonds,etc.)thehistoryoftheyield,andthencalculatethemeanandvarianceofreturnonassetsorotherriskmeasurevalue,andtherelationshipbetweenthevariousassets,combiningtargetrateofreturnofinvestors,thedegreeofriskaversion,andotherfactors,therelevantassetallocationmodelissetup,basedonthemodel,thechoicecanincreasetheincomeoftheinvestorsandtheabilitytocontroltheriskofassetallocation,andaccordingtothemarketvolatility,againaccordingtotheindividualinvestmentcharacteristicsoftheinvestors(incomeandriskpreferences,etc.)onaregularbasisontheoriginalassetallocationandinvestmentproductsandspecificinvestmentproductsforreal-timeadjustment,eventuallyachievethegoaloflong-termandstableinvestment.Forindividualinvestors,however,theassetallocationdoesnotnecessarilyincludethecomplexcalculationprocess.Typically,individualinvestorsareconsideredintheassetallocationofpersonalmotivation,personalcircumstances,investorsandmarketofperiodicandlong-termoutlookofmanyfactors.
Assetallocationcanbedividedintotwocategories:
thefirstkindisstrategicassetallocation;
thesecondcategoryisthetacticalassetallocation.Inordertoachievethelong-termstrategicassetallocationstrategyreferstothefundinvestmentobjectivesandriskdecisionindifferentincomelevelbetweenassetclassesofinvestmentdecision-making,specificoperationisdeterminetheallocationoftheportfolioofallkindsofassets,thesecondinalongperiodoftimenolongeradjusttheallocationofassetclassesandallkindsofassets,theextendedperiodmaybeayearorlonger.Portfolioofvariousassetclasses,therefore,themarketvalueofrelativeweightwillchangewiththechangeofthemarket.Forexample,whenthestockmarketbullmarketportfolio,thestockpricelevelishigher,thepercentageofthestockvalueweightwillbebigger;
Onthecontrary,whenthestockmarketinabearmarket,thestockvalueasapercentageofweightwillbesmaller.Strategicassetallocationisaveryimportantlinkintheprocessofassetallocation.Accordingtotheassetallocationprocess,thefirststepintheprocessofassetallocationtocollectpotentialinvestmentobjectofstatisticaldataandthesecondstepistodeterminetherisksandbenefitsofpreferenceinformation,istobuildthebestportfoliopreparation.Themostcriticalandmostcandeterminewhethertheoptimalportfolioisthethirdstep,thespecificstage,theproportionofassetallocation,thestrategicassetallocationphase.Strategicassetallocationistheuseoftherelevantassetallocationofthemainprocessofassetallocationmodel,istheinvestor'
sriskpreferenceandinvestmentobjects(suchasstocks,bonds)combinedwiththeprocessofaccurately.Intheprocessofthiscombination,thetheoreticalmodelofstrategicassetallocationcaneffectivelyreducesystemicriskoftheportfolioin,soastorealizedistributedportfoliorisk,getthehighestreturnstheinvestmentobjective.Thereforehecalledtheassetallocation;
especiallystrategicassetallocationisthemostpowerfulimmunehandofsystemicriskthecentraltaskofperiod,allthefundstoinvestin.
2Don'
tallowtheoptimalportfoliomodelforriskassetsundershortselling
Thispaperdiscussesstockfunds,bondfunds,currencyfundsitthreekindsofriskassetallocationproblem,limitconditionsinthepresenceofarisk-freeborrowingbutdoesnotallowshort-selling.Tothisend,thischapterfirstdiscussesexistrisk-freelendingriskassetsundertheoptimalportfoliomodel,andthenjoindoesn'
tallowshort-sellingcondition,launchedarisk-freeborrowingbutdoesnotallowshort-sellingriskassetsunderoptimalmodel,mostmethodsofsolvingthismodelisgiven.
2.1Existrisk-freelendingriskassetsundertheoptimalportfoliomodel
Risk-freeborrowingreferstotherisk-freeassetisthelendingandborrowing.Whichreferstolentinvestorswouldinvestpartoftheirfundsinarisk-freeasset,theweightofarisk-freeassetinthepositive.Borrowingreferstoinvestorsborrowmoneywithoutriskandinvesttheproceedsinriskassets,weightofarisk-freeassetinthenegative.Theyieldofriskassetsrefertoassetsisuncertain.Risk-freeassetsrefertoassetsyieldiscertain.Risk-freeassethasatleastthefollowingtwocharacteristics:
afixedincome;
Thereisnopossibilityofdefault.Intheactualinvestmentenvironmentthereisrelativelylittleriskassets,suchasshort-termbonds,short-termfinancingbonds,short-termbankdeposits,andshort-termpropertymortgage,etc.Becauseinflationissmall,theinfluenceoftheirinvestmentincomeisrelativelystable,theriskisverysmall,andthereforecanberegardedasrisk-freeassets.Becausetheultimatevalueofarisk-freeassetinthewithoutanyuncertainty,sothestandarddeviationis0.AndbecauseanytwoassetscovariancebetweenIandjassetsyieldequaltotheircorrelationcoefficientandtheproductoftheirstandarddeviations,sotheyieldoftherisk-freeassetandriskyassetyieldcovariancebetween0.
2.2Existrisk-freeborrowingbutdoesnotallowtheoptimalportfoliomodelforriskassetsundershortselling
Allowshort-selling(shortSale)referstoinvestorstosellsecuritiesthatdoesnotbelongtoyou,latertobuyitbacktooriginalowners.Whenstockpricesfallshortsellingstrategywillbeprofitable,andwhenthestockpriceriseswillbelosses.Shortsellingstrategy,therefore,investorstendtothinkthefutureofwereshortedstockpriceswouldfall.Don’tallowshort-sellingisreferstotheinvestmentproportioncoefficientofnonnegativeconstraintsmustbemet.
2.3Solutionoptimizationmodels
Model(2.9),theobjectivefunctionisaquadraticfunction,theconstraintequationisconstraint,thiskindofproblemiscalledthequadraticprogrammingproblem.Solvingquadraticprogrammingmodelofthebasicideais:
first,theapplicationofadvancedcalculusofKuhntuckerconditiontothemodelisconvertedintolinearequations,andthenusedtosolvelinearequationsmethodtofindtheoptimalsolution.
3Allocationofcorrection
Capitalmarketisamarket,affectedbyvariousfactorsisprotean,intricateinformationcanmakethecapitalmarketsreactaccordingly,nomatteradoptwhatkindofmathematicalmethodtoforecastcanhaveaerrorwiththeactualsituation,butthisdoesnotmeanthatpredictionismeaningless,weneedtodoisonthebasisofpredictionusingmathematicalmethodtoberevised.Thisarticleadoptstheproportiondifferencecorrectionmethodismodified.Specificstepsareasfollows:
firstofall,accordingtothethirdchapterrespectivelyallkindsoftimeseriesmodelstopredictthreetypesoffundsonyieldof2007to2008.Secondly,theuseofthreekindsofriskyassetsin2.2theoptimalportfoliomodel(2.9)aswellasthesolvingmethodin2.3,respectivelyaccordingtoforecastmonthlyyielddataandactualyielddatafortheoptimalinvestmentportfolio.Then,usetheproportionofactualmonthyielddatacalculatedwithpredictiononearningsfigurescalculatedtocalculatetheproportionoftheproportionofeachtypeoffundmonthlydifference,andthenusemathematicsaveragemethodtofindthedifferenceonaverage,
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