状态转移框架下跨地区、跨行业资产配置模型及实证

doi:10.12005/orms.2018.0071

摘要/Abstract

摘要： 利用Markov状态转移模型捕捉金融资产收益率序列的非线性、动态的结构性变化,考虑不同市场状态下资金在地区板块、行业板块间流动导致的板块轮动效应,构建基于状态转移的跨地区、跨行业资产配置模型。在此基础上,对市场状态和地区、行业板块轮动效应对资产配置的影响进行细致分析。研究发现:中国股票市场存在明显的动态结构性变化,可以分为熊市状态和牛市状态,两种市场状态下最优资产配置结构不同。结果表明,状态转移框架下的跨地区和跨行业资产配置能够刻画非对称市场状态下资产的收益和风险特征,分散非系统性风险的同时降低市场风险,提高投资者的收益,可以为投资者决策提供有价值的参考。

关键词: 金融工程, 资产配置, 状态转移, 板块轮动

Abstract: We use Markov regime switching model to capture the nonlinear dynamic structural change of financial asset return series, and further considering sector rotation effect caused by liquidity between different districts and industries under different market regimes, we propose the model of cross-district and cross-industry asset allocation based on regime switching. On this basis, we make a detailed analysis of the impact of market regimes and sector rotation effect on the asset allocation. The study shows that: there are significant structural dynamic changes in Chinese financial market, which can be divided into bear and bull markets, and the optimal asset allocation structure under bear market is inconsistent with bull market. Asset allocation under regime switching improves returns to investors. The research shows that cross-district and cross-industry asset allocation model under regime switching framework could describe the return and risk characteristics of assets under asymmetric market regimes, diversify non-systematic risk while reducing market risk, and thus provide valuable reference for investors decisions.

Key words: financial project, asset allocation, regime switching, sector rotation

中图分类号:

F830.91

金秀, 尘娜, 刘家和, 苑莹. 状态转移框架下跨地区、跨行业资产配置模型及实证[J]. 运筹与管理, 2018, 27(3): 150-158.

JIN Xiu, CHEN Na, LIU Jia-he, YUAN Ying. Empirical Study on Cross-district and Cross-industry Asset Allocation Model under Regime Switching Framework[J]. Operations Research and Management Science, 2018, 27(3): 150-158.

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