摘要
本文利用2010年1月至2014年3月的数据检验了我国商品期货、房地产、黄金和行业股票四大类共三十种重要金融资产的通胀对冲能力,筛选出具有通货膨胀保护功能的资产。同时构建考虑通胀因素的均值方差模型,利用筛选出的资产构建投资组合,在股票资产池的基础上依次加入黄金、房地产和商品期货,对比投资组合对有效前沿,得到具有通胀保护功能的最优投资策略。
In this paper,the inflation hedging ability of four categories of important financial assets in China:commodity futures,real estate,gold and industry stock is tested,and the assets that have significant inflation hedging effect are selected.Then the mean-variance model is constructed consider the inflation factor.Using the selected assets to construct the inflation hedging portfolio,industry stocks,gold,real estate and commodity future are successively added into the asset pool,comparing the portfolio efficient frontier,the optimal investment strategy is obtained with inflation protection function.
出处
《中国管理科学》
CSSCI
北大核心
2014年第S1期382-388,共7页
Chinese Journal of Management Science
关键词
通胀保护
均值方差
投资组合
inflation protection
mean-variance
investment portfolio
