股指期货在机构投资者资产管理中的运用：理论与实证

【作者】 陈露；

【导师】 陈宪；

【作者基本信息】 上海社会科学院 ， 政治经济学， 2009， 博士

【摘要】 股指期货是金融市场的基础性衍生产品,对于提高市场效率、完善市场功能和实现市场的风险配置具有重要的作用。我国的股指期货推出在即,如何在投资与产品设计中运用股指期货,通过投资策略的再构造来优化组合的风险收益特征,是摆在每家机构投资者面前的一个现实问题。本文从资本资产定价模型和布莱克-肖尔斯期权定价公式出发,阐释了机构投资者在资产管理中运用股指期货改善投资效率的基本原理。随后本文介绍了海外机构投资者应用股指期货进行资产管理的各种策略方法的产生背景、基本概念、发展与演进,并介绍了国外机构投资者运用股指期货等金融衍生品进行资产管理的基本情况。最后,本文针对股指期货在操作上的高杠杆特性和多元化的交易方式,以投资组合保险、指数化投资的衍生性策略和阿尔法策略为例,采用理论和实证分析相结合的方法研究了机构投资者如何在不同的理财产品中和收益目标下运用股指期货来提高投资效用。得出的基本结论是:合理运用股指期货可以优化原组合的风险收益特征,或者创造出不同风险收益比的组合产品,可以改善市场配置风险的能力,提高基于不同投资策略的不同理财产品的投资效率。更多还原

【Abstract】 Stock index future is a basic derivative instrument in the financial market. It plays an important role in improving market efficiency, perfecting market function and realizing risk allocation in the market. With the impending launch of index futures in China, it is of practical significance for every institutional investor to find out how to apply index futures in product design and investment, and how to optimize the yield risk characteristics of portfolios through investment strategy restructuring.Starting from CAPM model and Black-Scholes model, this paper explains the fundamental principles of institutional investors to apply index futures to the improvement of investment efficiency. Then it introduces the emergence background, basic concepts, development and evolution of various strategies by overseas institutional investors to apply index futures to asset management. It will also introduce some basic information about foreign institutional investors in utilizing financial derivatives in asset management.Finally, in light of the high leverage and diversification in the trading of index futures, the paper takes portfolio insurance, Derivative-based Indexing Strategy, and Alpha Strategy as examples and studies the ways that institutional investors improve the investment efficiency of different financial products and under different yield targets in the approach of theoretical and empirical analysis. The basic conclusion is that if we put index futures in reasonable application, it will optimize the risk premium characteristics of the original portfolio, or will create portfolios of different risk-yield ratio to enhance the market’s ability to allocate risk and improve the investment efficiency based on different investment products of varied investment strategies.更多还原