| 现代投资组合新视角:对冲基金配置的理论与实证研究 |
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| 引用本文： | 顾巧明,惠宝成. 现代投资组合新视角:对冲基金配置的理论与实证研究[J]. 上海金融, 2011, 0(2) |
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| 作者姓名： | 顾巧明 惠宝成 |
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| 作者单位： | 1. 上海国际集团博士后工作站,上海,200002
2. 摩根斯坦利(伦敦)对冲基金部,伦敦,SE145T |
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| 摘 要： | 本文在分析传统的投资对冲基金组合架构存在不足的基础上,提出了新的资产组合构架模型,并从理论上论证了对冲基金为何不是一个纯粹超额收益的制造者而更多是一个风险溢价的提供者以及将对冲基金与传统资产有机整合到一起的好处。然后用Cornish—Fisher伸展式对新的资产组合进行分析,证明了新架构的合理性,并用欧美市场的数据进行实证检验。本研究为对冲基金投资者提供了新的操作范式。
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| 关 键 词： | 对冲基金 投资组合新构架 实证检验 |
The New Angle of Modern Investment Portfolios: Theories and Empirical Studies of Hedge Funds Allocation |
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| Gu Qiaoming,Hui Baocheng. The New Angle of Modern Investment Portfolios: Theories and Empirical Studies of Hedge Funds Allocation[J]. Shanghai Finance, 2011, 0(2) |
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| Authors: | Gu Qiaoming Hui Baocheng |
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| Affiliation: | Gu Qiaoming/ Hui Baocheng |
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| Abstract: | The paper analyzes the deficiency of traditional framework of hedge funds investment portfolios,puts forward a new framework of investment portfolios,and proves that hedge funds are not purely the maker of excess earnings,but the provider of risk premium.It also proves the benefits of the combination of hedge funds and traditional assets.Then the paper adopts Cornish-Fisher expansion model to analyze the new asset portfolio and proves its rationality based on the empirical test with data from the Europe and... |
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| Keywords: | Hedge Funds New Framework of Investment Portfolios Empirical Test |
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