基于非对称动态条件相依国际资产配置研究

管理评论 ›› 2021, Vol. 33 ›› Issue (6): 41-52.

基于非对称动态条件相依国际资产配置研究

巩建英¹, 王璐熠², 吉小东³

1. 中国科学院大学经济与管理学院, 北京 100190;
2. 上海浦东发展银行股份有限公司武汉分行, 武汉 430000;
3. 河北师范大学商学院, 石家庄 050024

收稿日期:2020-04-07 发布日期:2021-07-03
通讯作者: 吉小东(通讯作者),河北师范大学商学院教授,硕士生导师,博士。
作者简介:巩建英,中国科学院大学经济与管理学院博士研究生;王璐熠,上海浦东发展银行股份有限公司武汉分行,硕士
基金资助:
国家自然科学基金项目（71571062）；全国统计科学研究重点项目（2019LZ17）。

Research on Global Asset Allocation Based on Asymmetric Dynamic Conditional Correlation

Gong Jianying¹, Wang Luyi², Ji Xiaodong³

1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
2. Wuhan Branch of Shanghai Pudong Development Bank, Wuhan 430000;
3. College of Business, Hebei Normal University, Shijiazhuang 050024

Received:2020-04-07 Published:2021-07-03

摘要/Abstract

摘要： 通过国际资产配置可以分散市场层面和行业层面的投资风险，还可以对冲某些特质风险。本文以股票市场为例构建跨市场跨行业风险资产的遴选方法，旨在通过国际资产配置降低资产间的联动风险，为投资者实现财富的稳健增值提供新思路。文中首先测度了国际主要金融市场间的非对称动态相依性，选择相依性较弱的金融市场作为备选，通过市场分割分散市场风险；之后确定风险资产质量的评价指标，从备选市场中遴选出有投资潜力的行业（风险资产）建立资产池。回测数值试验表明，基于市场分散和行业分散策略构建的风险资产遴选方法能提高资产池的质量，尤其是在风险控制方面优于市场基准。本研究旨在形成系统的风险资产遴选思路，为投资者建立高质量的资产池进行国际资产配置提供依据。

关键词: 动态条件相依, 国际资产配置, 分散化策略, 联动风险, 资产池

Abstract: Global asset allocation diversifies the market risks and industry risks as well as idiosyncratic risks. Taking the stock market for example, this paper establishes an approach to select risky assets based on strategies of cross-markets and cross-industries, which provides a new viewpoint for investors to reduce the co-movement risks and achieve the wealth appreciation by global asset allocation. We estimate the asymmetric dynamic conditional correlation between international financial markets and determine a few candidate markets with lower correlation to diversify the market risks by market segmentation. Then some indices are designed to assess the quality of risky assets, which are used to select potential industries (risky assets) from candidate markets to construct the asset pool. Numerical experiments show that the proposed approach of selecting risky assets based on diversified strategies improves the quality of assets pool and performs better risk control than market benchmark. This paper aims to propose a general systematic method for investors to select risky assets and construct high-quality assets pool for global asset allocation.

Key words: dynamic conditional correlation, global asset allocation, diversified strategy, co-movement risks, asset pool

巩建英, 王璐熠, 吉小东. 基于非对称动态条件相依国际资产配置研究[J]. 管理评论, 2021, 33(6): 41-52.

Gong Jianying, Wang Luyi, Ji Xiaodong. Research on Global Asset Allocation Based on Asymmetric Dynamic Conditional Correlation[J]. Management Review, 2021, 33(6): 41-52.

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