考慮沖擊成本的積極投資組合決策模型研究.pdf

1、天津大學碩士學位論文考慮沖擊成本的積極投資組合決策模型研究姓名：崔蘭偉申請學位級別：碩士專業(yè)：管理科學與工程指導教師：王春峰20090501ABSTRACTWithmodemfinancialmarket’Srapiddevelopment，allkindsfinancialproductsbasedofactiveportfoliotheoryemergeoutinordertomeetthedifferentneedsofinves

2、torsActiveportfoliotheorysuggeststhattheexistenceofmarketmis—pricingsecurities，investorscangetexcessearningscomparingwiththebenchmarkportfoliobyseekingtobuyandholdsuchsecurities，butthedecisionmakingmodelofhowtoconstructa

3、reasonableweightdistributionoftheassets，whatkindofeffectdoesthepriceimpactofstockadjustmenthaveontheconfigurationwhetherweshouldconsideraboutthepriceimpactintheallocationinordertomaximizetheoverincomeatthesametimeminimiz

4、ingtheriskhasbeenthefocusofresearchinthisfieldT11ispaperintroducesamethodtopredicttheexcessreturn：TheBayesianAveragingofClassicalEstimates，usingthedailydataofChinesestockmarketto’dotheempiricalanalysis；Atthesametime，this

5、paperintroduceanonlinearpriceimpactfunctionfortheimplicittransactioncosts，usingtheultra—highfrequencydatatodotheempiricalanalysisoftheimplicittransactioncostsofChinesemarketAndthenconfiguringtheactiveportfoliobasedontheT

6、reynorBlackmodelandtheimplicittransactioncosts，atlastcomparethereturnoftheactiveportfolioandtheportfolioconfiguredbythemarketvalueT11ispaperhasdoneaverycomprehensiveempiricalresearchabouttheconfigurationoftheactiveportfo

7、lio，wehopeitwillgivesomereferencetotheChinesestockmarketT11ispaperconsistsofthreeparts：Thefirstpartincludesthechapter1andchapter2Chapterlmakesanintroductionaboutthebackgroundsignificationandthedevelopmentofactiveportfoli

8、oandimplicittransactioncostsChapter2reviewsInvestmentmanagementtheoryandmodemportfoliomanagementtheory；anglicizestheadvantagesofactiveportfoliomanagement；introducesTreynorBlackmodelandthetransactiorlcosttheory111epart2as

9、theprincipalpartincludesChapter3andChapter4Chapter3introducestheBayesianAveragingofClassicalEstimates(BACE)andtheOccarnwindowwhichisusedtodeletetheextramodels，andthencomparethereturnoftheactiveportfolioandanotherportfoli