摘要
本文基于Black-Litterman框架首次提出了国际大宗商品资产行业配置策略.考虑到大宗商品市场与外部金融市场之间联动性显著增强的事实,我们利用纳入外部金融市场信息作为解释变量的FIGARCH模型来捕捉大宗商品行业收益率及收益率变动特征,从而将外部金融市场对大宗商品市场的信息溢出效应量化地应用到大宗商品行业资产配置问题中.实证结果表明基于本文所提出的行业配置策略能够为实现大宗商品投资组合收益能力和风险规避的有效匹配提供一个系统而稳健的途径,其效果优于基于市场均衡权重和传统Markowitz框架下的投资策略.相关成果为实现大宗商品资产积极组合管理,适应国际投资安全性、流动性、收益性和多元化要求,进而服务于国际资源储备和国家经济安全提供决策支持.
This paper proposes an international commodity assets industry allocation model under Black-Litterman framework, which taking consideration of information spillover effect originated from exogenous financial markets on to commodities markets and long-term memory characteristics of commodities. Em- pirical experiments on daily data of DJ-UBS commodity sub-indices show that the proposed industrial allocation strategy provides a systematic and robust way to achieve the optimal trade-off between prof- itability and risk-aversion, and the realized returns are better than traditional strategies based on market equilibrium weights or the Markowitz framework. It demonstrates that this model provides a great support and experience for active management of international commodity investment with colnprehensive consid-eration of safety, liquidity and profitability, therefore to guarantee international reserves and national economy security.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2014年第3期560-574,共15页
Systems Engineering-Theory & Practice
基金
国家自然科学基金重点项目(70831001)
国家自然科学基金面上项目(71173008)
