新常态下的居民投资理财研究——基于均值-方差模型下的大类资产配置

The Discussion about Civil Investment under the"New Normal"—Based on the Assets Allocation backed by"Mean-Variance"Model

随着《关于规范金融机构资产管理业务的指导意见》的落地,我国资产管理行业的发展进入了新常态。我国居民的投资期限及投资工具将发生明显变化,包括:产品投资期限可能大幅延长;投资工具的主要形态将由传统的预期收益型理财产品转化为净值型产品。本文重点探讨在行业管理新规的新常态下,居民如何通过合理的大类资产配置实现有效投资。本文在均值-方差模型(Mean-Variance Model)的基础上,结合过去12年我国股票、债券、货币、黄金和国债五大类资产的投资数据,构建有效边界(Efficient Frontier),并在此基础上寻得夏普比率(Sharpe Ratio)最高的风险资产组合,进而绘制资本市场线(Capital Market Line)。通过对资本市场线及有效边界上若干组合的实证检验,本文发现:通过对大类资产的合理组合,可以为投资者带来长期稳定的投资回报;因流动性需求,投资者进行中短期投资时,低预期收益目标的投资组合表现更优。

Since the branded-new supervisory policy has been published,the assets management industry come to a new era.The civil investment will be significantly changed:the investment time-horizon might be much longer than before;and the investment tools will normally be market-valued.Therefore,this paper discusses whether civil investment based assets allocation backed by econometric models will be efficient in China.Based on the recent past 12-year trading data,this paper constructs the Efficient Frontier and the Capital Market Line on stocks,bonds,monetary tools,gold and risk-free assets.Finally,based on the back-test on selected portfolios,this paper finds that:portfolios backed by Mean-Variance Model have efficient performance in long run;in 1-year time horizon,those portfolios have lower target return rate performance than the higher ones.