| 多因素模型下的风险预算分析及其在我国的应用 |
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| 引用本文： | 张太原,杨筱燕,李俊峰.多因素模型下的风险预算分析及其在我国的应用[J].经济研究,2008,43(12):134-144. |
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| 作者姓名： | 张太原 杨筱燕 李俊峰 |
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| 作者单位： | 湖南大学工商管理学院,410082;中国银河证券股份有限公司风险管理部;中央财经大学金融学院,100081 |
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| 基金项目： | 自然科学基金项目(70773124)的资助 |
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| 摘 要： | 以风险配置为核心风险预算技术,是一种全新的投资组合管理技术,在国内也还是一个新概念。因此,如何与国内机构投资者的资产管理业务相结合,并指导和应用于投资组合管理过程,是本文要解决的问题。文章结合国内实际从利率因素的研究开始,分析和确定多因子的选择,建立起类别资产配置的多因子模型,探讨资产负债框架下的战略风险预算过程,为机构投资者建立风险管理前移的风险预算模式提供决策参考。
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| 关 键 词： | 风险预算 多因子 主成分 战略资产配置 |
Risk Budgeting Analysis Based on Multi-factor Model and Research on Its Application in China |
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| Zhang Taiyuan,Yang Xiaoyan , Li Junfeng.Risk Budgeting Analysis Based on Multi-factor Model and Research on Its Application in China[J].Economic Research Journal,2008,43(12):134-144. |
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| Authors: | Zhang Taiyuan Yang Xiaoyan Li Junfeng |
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| Institution: | Zhang Taiyuan,Yang Xiaoyan , Li Junfeng(School of Economic , Business Management of Hunan University,Risk Management Department of China Galaxy Securities,School of Finance,Central University of Finance , Economics) |
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| Abstract: | Risk budgeting,which based on the risk allocation,is a new technique of portfolio management,and is still a new concept in China.Therefore,it is meaningful to discuss the topic of applying risk bugeting to the asset management for domestic institutional investors in this paper.We start research from the data of China yield curve,then analyse and find the main component of yield curve and other assets,building the multifactor model of assets allocation.Finally we discuss the strategic asset allocation under ... |
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| Keywords: | Risk Budgeting Multifactor Principal Component Strategic Asset Allocation |
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