摘要
组合投资是利用投资组合内各个风险资产之间的相关性来分散风险的,而均值—方差投资组合模型采用的相关性度量—相关系数无法准确地度量风险资产之间的相关性,这必将对组合投资的风险分散效果产生不利影响。本文提出,用理论性质更好的相关性度量来度量风险资产之间的相关性,并建立基于Kendallτ的投资组合模型。通过实证研究发现,在保险资金投资管理中,采用基于Kendallτ的投资组合模型能够取得比均值—方差投资组合模型更好的风险分散效果。
How to use portfolio theory and invest scientifically to reduce risk efficiently and gain stable returns is very important in investment management of insurance funds. Diversification investment reduces risks through correlations between risky assets. However, correlation coefficient in mean -variance portfolio model cannot measure correlations between risky assets accurately, and this will damage the effect of diversification investment. We suggest to use measurement of correlation which has better theoretical qualities than correlation coefficient to measure correlations between risky assets, and propose a portfolio model based on. Through an empirical analysis, we find that using portfolio model based on can gain better effect of risk diversification than mean - variance portfolio model in investment management of insurance funds.
出处
《财贸研究》
北大核心
2007年第5期79-83,共5页
Finance and Trade Research
基金
国家自然科学基金项目"非正态分布条件下的投资组合理论研究"(项目批准号:70440003)
关键词
保险资金
投资管理
风险分散
相关性度量
insurance funds
investment management
risk diversification
measurement of correlation
