摘要
分析我国机构投资者的风险管理现状,面向机构投资管理需求,引入带有预测功能的控制学方法,形成对风险预算技术进行模型层面优化改进的思路。推导风险预算控制对象的一阶模型,构建控制体系结构图,运用预测性反馈分析代替常规闭环反馈分析,改进风险测度参数,设计出一种基于预测性控制的风险预算方法。运用我国封闭式基金数据进行了实证研究。
Institutional investors＇ risk management present situation is analyzed. Facing the institutional investment management requirements, predictive control method is introduced and risk budgeting is optimized and improved in the model level. Risk budgeting control object＇s first-order model is deduced, and control system structure is constructed. Using predictive feedback analysis instead of conventional closed-loop feedback analysis and improving risk measure parameter, a risk budgeting method based on predictive control is designed. Empirical research is conducted by Chinese closed-end fund data.
出处
《金融理论与实践》
CSSCI
北大核心
2013年第7期1-5,共5页
Financial Theory and Practice
关键词
证券投资
机构投资
投资风险管理
风险预算
预测
控制
portfolio investment
institutional investment
investment risk management
risk budgeting
predictive
control
