基于系统性风险角度对基金资产配置策略的计量分析

Analysis of Fund Asset Allocation Strategy based on Systemic Risk

为解决基金投资收益与系统性风险之间矛盾,首先通过层次聚类分析建立综合评价模型,其次通过时间序列分析建立二次规划以及多目标规划模型,分别求解出基于效用最大化的股票投资组合策略,基于投资效用最大化、风险价值最低的投资收益与系统风险平衡策略.研究得出:不同基金公司之间资产配置策略相似性的度量;最优的股票投资组合策略;度量每个基金公司2020年在95%置信水平下的风险价值;构建了投资效用与风险价值平衡下的双目标优化模型.

In order to solve the contradiction between fund investment income and systemic risk,firstly establish a comprehensive evaluation model through hierarchical clustering analysis,and secondly establish a quadratic programming and multi-objective programming model through time series analysis,and solve the stocks based on maximum utility The portfolio strategy is based on the strategy of balancing investment returns and system risk with maximum investment utility and lowest risk value.The study concludes:the measurement of the similarity of asset allocation strategies between different fund companies;the optimal stock portfolio strategy;the measurement of the value-at-risk of each fund company at a 95%confidence level in 2020;the establishment of investment utility and riskvalue balance Under the dual objective optimization model.