股指期貨在指數(shù)基金投資管理中的應(yīng)用研究.pdf

1、大連理工大學(xué)碩士學(xué)位論文股指期貨在指數(shù)基金投資管理中的應(yīng)用研究姓名：程顯敏申請學(xué)位級(jí)別：碩士專業(yè)：會(huì)計(jì)學(xué)指導(dǎo)教師：王敬20070601股指期貨在指數(shù)基金投資管理中的應(yīng)用研究TheResearchontheIndexFundsInvestmentManagementontheStockIndexFuturesAbstractWitlltheincreasingusageofderivativesinmanagingassetportfol

2、ioandtheincreasedusageofeconome仃icsdevelopmenttoolsforinvestmentmanagementmodel，traditionalinvestmentmanagementmodeonlydependingonunilateralmarketgoingupwillbediscardedinsteadofmoderninvestmentmanagementmodeofassetportfo

3、lioaddingstockindexfuturesbuttheresearchOilappliedeffectandallocationratioinconnectionwithhedgeandassetaUoeationofstockindexfuturesinChinesesecuritiesbusinessisveryfewToaimatthetwoissuesabovetheuseoftwoclassichedgingmode

4、landtheestablishmentoftheassetallocationmodelrespective，byindexfundempiricalanalysis(Tobettertoillustratethepmblem，usedtheindexfundshavingstrongcorrelationwiththestockindex300here)，gettheoptimumhedgingmodelandverifytheef

5、fectivenesstoassetallocationmodel，andprovidesareferenceforinvestorsatthebeginningoflaunchingstockindexfuturesAmongthekeyfindingsareasfollows：(1)WeusetwohedgingmodeltoverifybedgingeffeetivesstoindexfundWemakesuseofsimpleh

6、edgingmodelandriskminimizationhedgingmodelon50ETF，100ETFandJiashi300LOFhedgingTheempiricalresultsshowthathedgingcalleffectivelyreduceportfoliovolatilityandthestrongercorrelationofthefundsandstockindexfutures，thebetterits

7、hedgingeffect(2)WebuildanassetportfoliomodelbasedonriskcontrolWebringuptheproportionalrelationshipsbetweenstockindexfuturesandreservemarginandbuildllpayieldfunctionmodelandadditionalmarginfunctionmodel，andverifythevalidi

8、tyofthemodelbasedonPrincipleofmaximumearningsperriskEmpiricalanalysisshows：theriskcanbecontrolledinac毗qJllareabythemodel，andgettheadditionalrevenuetoexceedtheindexThecharacterofthemodelisfirstlythatwemeasureriskofthespot

9、tobehedgingUsethecspitalassetpricingmodeltocalculatecorrelationcoefficientofthespotandstockindexfutures，andsurveythesystemicrisksofthespottoprovideabasisforhedgingSecondlyWeanalyzehedgingeffectsoftheFrFandLOFrespectively