复杂市场环境下基于风险预算的资产配置研究

Nowadays asset allocation model under the risk budgeting framework has begun to attract hot attention of both academics and practioners. The environment of investment are complex, for instance most of the portfolios are non-self-financing; the investment opportunities and liquidity are not only time varying but also stochastic; the number of uncertainty is larger than that of the tradable assets so that risk can not be perfectly hedged and markets are incomplete; the price dynamics vary across different asset classes and there is complex correlations between risks, etc.. By virtual of the theories and methods of stochastic analysis, (time inconsistent) stochastic control, partial differential equation, time series analysis, numerical analysis, Monte Carlo simulation, etc., this project investigates asset allocation problems under the traditional dynamic portfolio choice framework in complex financial environments in which there exist the above market imperfections. .Based on realistic complex time-vary market, this project considers dynamic asset allocation policy under the risk budgeting framework. The project derives the explicit or numerical solutions for the investment policies with respect to different objectives with or without constrains. It hopes to improve and enrich the risk budgeting based asset allocation theory and provide a scientific and reasonable basis for the asset allocation of institutional investors such as social security funds, pension funds, capital preservation funds and insurance funds,etc.. Specifically, the project studies the following six problems:.1. The investment policies for an investor facing a unhedgeable stochastic cash flow in time varying market. .2. The multi-class asset allocation problem under the mixed different price dynamic model. .3. Asset allocation strategy in the frame work of risk budget under the copula model in the context of time-varying volatilities and complex risk correlations. .4. The risk parity strategy under other risk measures rather than the traditional standard deviation; We first construct a risk measure, under which we find the corresponding investment policy in the spirit of equally contributed marginal risk as in classic risk parity portfolio. .5. Risk budgeting asset allocation strategy with liquidity risk. .6. Comparisons of the investment policy with respect to different risk measures in the risk parity framework.

风险预算资产配置问题已经引起学术界和投资界的高度关注。复杂市场环境包括组合的非自融资性，投资机会集以及流动性的时变性和随机性，市场非完备性，多品种价格过程的非一致性，风险之间的复杂相关性等。基于这几点，综合运用随机分析，时间不一致控制理论，偏微分方程，时间序列分析，数值分析，蒙特卡洛模拟等理论和方法研究基于风险预算的资产配置问题。在考虑现实市场复杂时变的基础上，结合经典的动态资产配置理论和投资实践中常用的风险预算技术，给出几种不同市场模型下基于不同目标及约束的配置策略，丰富和完善现有资产配置理论模型，为机构投资者进行资产配置提供科学合理的参考依据。具体解决如下6个问题:.1. 时变市场中带有一类不可完全对冲随机资金流的资产配置。.2. 基于不同价格过程的动态多品种资产配置。.3. 在时变方差及复杂风险相关下基于copula模型的风险预算资产配置。.4. 基于非标准差风险测度的风险平价策略。这一部分主要构造方差之外的风险测度指标，仍然基于风险贡献均衡的思想求解平价策略。 .5. 考虑流动性风险的资产配置。.6. 不同风险测度下的风险预算资产配置比较研究。

资产配置是金融经济学的核心问题之一。基于风险预算的资产配置作为一种新的风险管理理念和技术，推动了风险管理方法的发展，已经取得了诸多的研究成果。实践中风险预算管理已经为越来越多的机构投资者所重视，特别是对风险极度敏感的保本基金，社保基金，保险基金和养老基金等，都逐渐开始采用这一管理方法。风险预算已经将资产配置从一个控制风险的防御型角色转变为一个优化风险的主动进攻型角色，它不仅要求投资组合进行长期的战略资产配置，更是拓宽了积极主动的管理者为了实现投资目标施展个性的空间。综合运用随机分析，时间不一致控制理论和数值分析等方法, 结合经典的资产配置理论和实践中常用的风险预算技术,课题研究五个风险预算资产配置问题，具体而言:.1.研究了时变市场中带有一类不可完全对冲随机资金流的资产配置，主要考虑双曲绝对风险厌恶(HARA)型投资者在常弹性方差(CEV)模型下非自融资组合的动态配置问题，根据随机控制理论建立该问题的HJB方程。研究表明，该非自融资组合的最优动态配置问题等价于初始财富为所有未来随机净资金流在风险中性测度下累积期望现值与初始禀赋之和的自融资组合选择问题。.2.在时变方差及复杂风险相关下研究了基于copula模型的风险预算资产配置问题。在资产配置决策过程中，资产间相关性的研究对于投资组合的标的选择、权重分配和组合再调整至关重要。运用上证综指、中证全债、标普500和SHFE黄金的市场数据，通过模型分析表明，发现金融市场存在机制转换的特点，各类资产表现出动态相关性。基于机制转换的配置模型相比DCC模型和传统统计方法表现出更好的效果。.3.构造了基于非标准差风险测度的风险平价策略。这一部分主要构造方差之外的风险测度指标，仍然基于风险贡献均衡的思想求解平价策略。.4.研究考虑流动性风险的资产配置，主要的是将La-VaR测度引入风险预算组合，发现平价组合中是否引入流动性的差异不明显；但激进结构预算下，考虑流动性的新组合既具备与等权重组合相近的高收益特性，又保留了原风险预算组合低波动、高夏普比率的特征。.5.比较了不同风险测度下的风险预算资产配置。将风险平价组合与等权重组合、最小方差组合、最大分散组合进行比较，发现仅基于风险的大类资产配置组合具备较高稳健性。按照结构和总量两个维度对风险预算逻辑进行拆解，发现结构预算可提高原策略灵活性，总量预算有助于降低最大回撤。