基于blacklitterman模型海洋灾害补偿基金收益地研究

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1、及收益测算。文章以涉海上市公司为研究样本，基于蒙特卡洛模拟下的风险约束机制模型对涉海上市公司的风险水平进行评估，构建最终投资策略集合；同时，利用Black-Litterman模型将投资者主观情绪应用于基金资产配置过程，增强了B-L模型的适用性与有效性；此外，通过对融资策略集投资标的进行BL收益的研究也为海洋灾害补偿基金定价奠定基础，具有一定的现实意义。关键词：海洋灾害补偿基金；B-L模型；风险约束；收益测度II万方数据AResearchonReturnsofCompensationFundforMarineHazardsbasedonBlack-Lit

2、termanModelAbstractWiththerisingeconomyofthecoastalarea，theeconomiclossbroughtbymarinehazardsespeciallyStormSurgeDisasterisworsening.Themethodstoestablishacompletemarinehazardspreventionandmitigationsystemaswellasstrengthentheabilitytocopewithemergencieshavebecomeanimportantissu

3、eofimplementingthestrategicplanof12thFive-YearPlan.Besides，theycontributegreatlytopromotingthedevelopmentofChina’smarineeconomy.Asoneoftheeffectivefinancingmethods，compensationfundplaysavitalroleincopingwithemergenciesandhasbeenusedinmanydevelopedcountries，forexample，theCaribbea

4、nCatastropheRiskFund.Withtherequirementsofcomprehensivedisasterprevention，financialriskmanagementcountermeasuresareneededurgently.However，China’sdisastermanagementandfinancialmarketdevelopmentrelativelylag.Ononehand，thebenefit-basedrelationshipsofhazard-affectedbodiesarenotveryo

5、bvious，thusleadingfairlyinvalidcompensatorystrategies.Ontheotherhand，incompletepricingmethodsrestrictthedevelopmentofcompensation-relatedproductsinChina.ThepaperquotestheframeofDisasterEconomicsTheoryandanalyzesthecurrentsituationofcompensationfundfordisasters.Afterpointingoutth

6、atsuchfinancialproductsareintheinitialstage，thepaperdescribestheoperationsofcompensationfundformarinehazardsbasedonthedefinitionofgeneralfundandChina’sincompleteinformationmarkets.ByemployingtheDisasterEconomicsTheory，thispaperarguesthepublicwelfareandprofitabilityofthecompensat

7、ionfundmentionedabove.Intheprocessofexploringtheoperationsofthecompensationfund，thepapermainlyintroducesitsfinancingmechanismandoperationmechanism.Undertheguidanceoftheprincipleoftestability，thispaperclassifiesthereturnsofthefundandpointsoutthattheestimationofthetestablereturnsa

8、ffectspricingthecompensationfund.Afterabsorbing