金融工程资产配置系列研究之一：基于动态风险的配置策略

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1、量化研究目录1.前言..........................................................................62.资产配置策略的逻辑和框架......................................62.1资产配置的逻辑框架................................................................................62.2大类资产配置配置什么？..............................

2、..........................................72.2.1风险溢价...............................................................................................................72.2.2CAPM与APT..................................................................................................

3、........82.2.3大类资产配置是对各市场内无法分散的风险溢价进行配置............................92.3配置策略需要回答两个问题：When？How？...............................103.资产收益率难以预测但波动率集聚..........................113.1资产的收益率难以预测.........................................................................113.2资产波动率的集聚（Clus

4、tering）.....................................................133.3资产的历史波动率和相关性动态变化................................................144.基于动态风险的配置策略........................................164.1风险的度量——ValueatRisk(VaR).................................................164.2均值方差（Mean

5、-Variance）优化模型...........................................174.3指数加权（ExponentialWeighted）估计.....................................184.4基于动态风险的配置策略.....................................................................194.4.1策略逻辑.....................................................

6、........................................................204.4.2回测结果.............................................................................................................224.4.3假如能准确预测未来60个交易日资产收益率的均值....................................305.近期市场观察.......................

7、...................................325.1近期股市的低波动率现象.....................................................................325.2波动率创历史新低的股市还将持续？................................................325.3走出低波动期前后发生了什么？........................................................345.4各股指最近一

8、次走出历史低波动期统计............................................356.总结..............