基于风险平价方法的几种风险组合实证分析

An Empirical Analysis of Several Risk Portfolios Based on Risk Parity Approach

以风险配置为核心建立投资组合是目前备受关注的一类投资组合管理技术。本文以10只不同行业股票的日收益率为例,运用风险平价方法建立风险平价组合和两种风险预算组合,并给出它们与切点组合的比较。结果表明:无论是从投资绩效和风险的角度,还是从投资结构和交易成本的角度来看,风险平价组合和两种风险预算组合均较切点组合占优势。另外,两种风险预算组合克服了风险平价组合只能以相同方式配置资产风险的缺陷,从而可以在一定程度上满足不同风险偏好投资者的需求。

Establishing portfolio based on the risk allocation is a prevailing way of portfolio management technology. Taking ten stocks from different industries as an illustration,three portfolios based on risk parity approach are constructed,namely risk parity portfolio,two risk budgeting portfolios,and compared them with the tangency portfolio. The results show that three risk-based portfolios all outperform tangency portfolio both in terms of investment performance and risk or investment structure and transaction cost.Moreover,two risk budgeting portfolios overcome the defect of risk parity portfolio that only allocates the asset's risk in the same way,so that it can satisfy the demands of investors with different risk preference.