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。
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 the United States. The research provides new operational paradigm fro hedge funds investors.
出处
《上海金融》
CSSCI
北大核心
2011年第2期70-75,共6页
Shanghai Finance
关键词
对冲基金
投资组合新构架
实证检验
Hedge Funds
New Framework of Investment Portfolios
Empirical Test
