对冲技术在资产管理中运用.pdf

1对冲技术在资产管理中的运用Hedging Techniques In the Asset Management 学 校: 上海交通大学学 院: 管理学院专 业: 工商管理(MBA) 作 者: 惠宝成导 师: 杨朝军学 号: 1041209217 班 级: M0412091 答辩日期: 年月日2对冲技术在资产管理中的运用摘要 1949 年,阿尔弗雷得·琼斯创立了世界上第一只对冲基金。从那时开始,对冲基金得到快速发展。今天对冲基金管理着超过9000 亿美元的资产。由于对冲基金的高收益以及这种收益与传统股票及债券收益的低相关性,越来越多的私人投资者开始进入对冲基金。由于2000 年股市随互联网泡沫的破灭而受重挫。越来越多的机构投资者也开始步入对冲基金这一行业。本论文的研究目的就在于寻找适合的投资于对冲基金的方法,希望投资者能够以更为有效的方式将对冲基金整合到他们的资产组合中。从而使他们在投资对冲基金中获得更大的收益。本文首先介绍了对冲基金的相关概念,对冲基金的投资策略及对冲基金自身的一些特点。接着介绍了传统的投资对冲基金的方式,传统的投资组合构架方式及这种架构方式的弊病。其次,针对这种弊病,提出了新的资产构架模型。对于新的资产构架模型,本文先从理论上分析了对冲基金为何不是一个纯粹超额收益的制造者而更多是一风险溢价的提供者。再具体分析了对冲基金面临的各种风险,并详细分析了将对冲基金与传统资产有机整合到一起的好处,并3且就新的资产组合构架模型,提出了优化方法。再次本文从实证角度对新的资产组合构架模型进行了实证分析。选用1997 至2005 年间的标准普尔500 指数及EDHEC 的对冲基金指数,采用新的构架模型,并用 Cornish-Fisher 伸展式对新的资产组合进行了优化。优化结果证明了新的资产组合构架模型的合理性。最后,对全文进行了总结,并提出了进一步研究的方向。希望本论文研究的结果会给对冲基金的投资者提供有益的启示,使他们在对冲基金投资中获得更大收益。关键字:对冲基金,资产管理,风险,资产组合构架,资产组合优化4HEDGE TECHNIQUES IN THE ASSET MANAGEMENT ABSTRACT In 1949, first Hedge Fund was launched by Alfred Jones. From then, Hedge Funds get quickly developed. Today Hedge Funds managed 900 billion dollars. Hedge Funds characterized as high yields and low correlation-coefficient with traditional assets. pany with the burst of the burble of the . More and more investors step into Hedge Funds. Traditionally, Hedge fund was looked as an extreme yield generator and set out as a special asset. Thus during portfolio construction, many managers set Equity and Bonds at the core position and the additionally add some Hedge Funds as absolute Alpha. However, now more and more research shows that hedge funds are not only Alpha generator, but mostly a beta. Because Hedge Funds face not only traditional market risk but also many other risk like Volatility risk, credit risk Foreign exchange risk, etc. Building on this new knowledge about Hedge Funds, we can set up our portfolio in new way. That is set Hedge Funds as an actively overlay to a passive portfolio and additionally add some alternative 5strategies to th