基于宏觀變量的行業(yè)配置.pdf

1、巨錄鞭?IAbstract?II弓丨胃?i1.1研究背景與選題意義?11.2研究目的、意義與章節(jié)安排?2第二章文獻綜述及相關(guān)方法?42.1國外研究方法?42.2國內(nèi)研宄現(xiàn)狀?52.3國外其他相關(guān)方法?6第三章宏觀經(jīng)濟對行業(yè)配置的影響?143.1經(jīng)濟周期識別對行業(yè)配置的意義?143.2基于經(jīng)濟周期的行業(yè)相對表現(xiàn)分析?14第四章行業(yè)配置方法?184.1宏觀多因素行業(yè)配置方法?184.1.1變量選擇及數(shù)據(jù)處理?184.1.2結(jié)果分析?194.

2、1.3行業(yè)配置情況?274.1.4行業(yè)配置中空頭組合分析?314.2Markowitz方法下的行業(yè)配置?33第五章結(jié)論與展望?41?42M?44AbstractSectorisagroupofcpationswhichhavesomecommonattributes.Nomatterinmacroscopicormicroscopicaspectsitisanimptantobjectforresearch.Sectrotationis

3、anindispensableprocessinthefromuptobottomassetallocation.Ithassignificantmeaningtofinalptfoliofmation.Accdingtotherelatedresearchandexperienceabroadselectedsectsgreatlyrelatetotheyieldofptfolioalargeproptionofstockyieldc

4、anbeexplainedbythesectselected.Investorsreallycanmakesignificantexcessreturnbysectrotationaccdingtothejudgmentoffuturemacroeconomics.Sotherearestronglinksbetweensectrotationandmacroeconomicswhichisakeyconcernofscholarsan

5、dmarketinvests.Ontheonehandhowtograspdifferentsectgrowthineconomiccycletodosectrotationisagreatconcernfinvestsontheotherhandhowtouseallkindsofdataavailableinthemarkettopredictfuturesectortrendandgetreasonablesuggestionfo

6、rinvestingbymeansofquantativemethodsisalsoatopicforscholarsandmarketinvestors.ThisthesistriestodosectrotationbyintroducingrepresentativemacroeconomicvariablestothesectorindexyieldregressionandLogisticregressftheprobabili

7、tyofrise.Thefinalsectrotationmethodisbasedonthecombinedconsiderationofpredictedindexreturnandprobabilityofrise.Furthermethethesisalsousesthetraditionalmeanvariancemethodtodosectrotationandcomparetheadvantageanddisadvanta

8、geoftwomethods.Wefindthattheresultusingthemethodbasedonmacroeconomicsisstablethesectswelongandthesectsweshtaccdwithreality.Whilethemeanvariancemethodisnotstableifthemarketdoesnothavetheshtsellingconstraint.Keywds:macroec