[1]周 亮,万 磊.风险平价策略在我国资本市场中的应用研究[J].金融教育研究,2018,(02):3-9.
　ZHOU Liang,WAN Lei.The Application Research of Risk Parity Strategy in Capital Market in China[J].,2018,(02):3-9.
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风险平价策略在我国资本市场中的应用研究()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2018年02期
页码:
3-9
栏目:
金融理论探讨
出版日期:
2018-04-20

文章信息/Info

Title:
The Application Research of Risk Parity Strategy in Capital Market in China
文章编号:
2095-0098(2018)02-0003-07
作者:
周 亮1;  万 磊2
1.湖南财政经济学院 学报编辑部,湖南 长沙 410205; 2.中信银行 南昌分行,江西 南昌 330008
Author(s):
ZHOU Liang1;  WAN Lei2
1.Journal Editorial Department,Hunan University of Finance and Economics,Changsha,Hunan 410205,China; 2.China Citic Bank of Nanchang Branch,Nanchang,Jiangxi 330008,China
关键词:
风险平价;  最小方差;  投资组合
Keywords:
risk parity;  minimum variance;  portfolio
分类号:
F832.51
文献标志码:
A
摘要:
在详细介绍风险平价策略的基础上,采用2013年至2017年股债组合、股票风格组合及行业组合的周数据进行分析后发现:无论是哪种组合,风险平价策略所构造的投资组合的风险和收益均介于等权重策略及最小方差策略之间; 但是除股债组合外,最小方差策略会导致收益率下降过快,从而导致收益风险比的降低,而风险平价策略虽然也会导致收益降低,但是其收益风险比却能与等权重组合几乎持平。因此综合来看,风险平价策略在我国资本市场上表现出极强的适用性,具有较强的应用价值。
Abstract:
Based on the detailed introduction of risk parity strategy,this paper analyzes the weekly data of the debt-equity portfolio,stock style portfolio and industry portfolio from 2013 to 2017.The results show that:no matter what kind of portfolio,the risk and return of the portfolio constructed by the risk parity strategy are both between the equal weights strategy and the minimum variance strategy.However,except the debt portfolio,the minimum variance strategy will lead to the rapid decline of the yield,which will lead to the decrease of the risk ratio of return.Although the risk parity strategy will lead to lower earnings,its return on risk ratio can be almost equal to the weight combination.Therefore,on the whole,the risk parity strategy has shown strong applicability in our country's capital market and has strong application value.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2018-02-22
基金项目:国家社科基金项目“我国资本空间流动对区域经济发展的影响机制研究”(项目编号:14BJL086); 湖南省教育厅科学研究项目“金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究”(项目编号:14B031)
作者简介:周 亮(1986-),男,湖南邵阳人,硕士,中级编辑,研究方向为金融工程。
更新日期/Last Update: 2018-04-20