【正文】 te of return, but before the crisis higher ΔVaR and lower ΔVaR corresponds to a higher rate of return, which means fund managers in reducing and increasing risk in a bull market access to higher ine risk. Postcrisis period, there is a negative correlation between the rate of return and ΔVaR, negative correlation means that, reducing the risk of securities investment funds can increase the ine of the Fund in the financial crisis. This article also found Bali, Gokcan and Liang (2020) based on samples of the proposed precrisis hedge fund investment strategies in the market, abnormal fluctuations invalid. III Key Words: Riskreturn relationship,Value at Risk,Crosssectional regression, GARCH I 目 錄 1 導(dǎo)論 ........................................................................................................................... 1 選題背景 ........................................................................................................... 1 研究意義 ........................................................................................................... 1 本文結(jié)構(gòu)和主要特色 ....................................................................................... 2 本文結(jié)構(gòu) ................................................................................................. 2 ..................................................................................................... 2 2 文獻(xiàn)綜述 .................................................................................................................. 4 證券投資基金風(fēng)險(xiǎn)衡量方法文獻(xiàn)綜述 ........................................................... 4 風(fēng)險(xiǎn)和收益關(guān)系文獻(xiàn)綜述 ............................................................................... 6 3 相關(guān)理論介紹 ........................................................................................................ 9 證券投資基金概述 ........................................................................................... 9 風(fēng)險(xiǎn)價(jià)值 VaR ................................................................................................. 10 風(fēng)險(xiǎn)價(jià)值 VaR 概述 .............................................................................. 10 計(jì)算時(shí)，定量因素的選擇 ............................................................ 12 衡量風(fēng)險(xiǎn)的優(yōu)勢(shì)和不足 ................................................................ 13 的計(jì)算方法 歷史模擬法 ............................................................. 13 （ p,q） VaR 模型 .............................................................................. 14 4 樣本選擇與研究方法 ........................................................................................ 16 樣本選取 ......................................................................................................... 16 基金收益率序列描述性統(tǒng)計(jì) ......................................................................... 16 收益率序列的非正態(tài)分布檢驗(yàn) ........................................................... 16 收益率序列的平穩(wěn)性檢驗(yàn) ................................................................... 17 收益率 ARCH 檢驗(yàn) .............................................................................. 18 研究方法 ......................................................................................................... 19 非參數(shù) VaR ........................................................................................... 19 參數(shù) VaR ............................................................................................... 19 構(gòu)造 VaR 組合 ...................................................................................... 20 基金收益對(duì) VaR、資產(chǎn)規(guī)模和存續(xù)期的橫截面回歸 ....................... 21 滯后階數(shù)的確定 ................................................................................... 22 5 實(shí)證結(jié)果 ................................................................................................................ 23 II 基于 VaR 值的基金組合構(gòu)造 ........................................................................ 23 全樣本分析 ........................................................................................... 23 金融危機(jī)前時(shí)間段分析 ....................................................................... 24 金融危機(jī)時(shí)間段分析 ........................................................................... 25 橫截面回歸 ..................................................................................................... 27 收益率對(duì) VaR、資產(chǎn)規(guī)模和存續(xù)期的回歸 ....................................... 27 不同時(shí)間段下收益率對(duì)參數(shù) VaR、非參數(shù) VaR、 GARCH VaR 的回歸結(jié)果 ........................................................................................................ 27 基金收益率和 ΔVaR相關(guān) 關(guān)系實(shí)證結(jié)果 ..................................................... 28 ..................................................................... 28 金融危機(jī)前時(shí)期和金融危機(jī)時(shí)期 ....................................................... 30 不同 VaR 對(duì) ΔVaR和收益率關(guān)系的影響 .......................................... 31 6 結(jié)論與原因解釋 .................................................................................................. 36 結(jié)論 ................................................................................................................. 36 原因解釋 ......................................................................................................... 37 對(duì)基金收益率和 VaR 相關(guān)關(guān)系實(shí)證結(jié)果解釋 .................................. 37 對(duì)基金收益率和 ΔVaR相關(guān)關(guān)系實(shí)證結(jié)果解釋 ............................... 38 本文不足 ......................................................................................................... 39 參考文獻(xiàn) ................................................................................................................... 41 后 記 ................................................................................................ 錯(cuò)誤 !未定義書(shū)簽。 1 導(dǎo)論 1 1 導(dǎo)論 選題背景 現(xiàn)代投資組合理論主要基于有效市場(chǎng)和理性投資者兩個(gè)假設(shè)。有效市場(chǎng)是指證券市場(chǎng)是完美無(wú)缺的，沒(méi)有摩擦。理性投資者主要是投資者厭惡風(fēng)險(xiǎn)，風(fēng)險(xiǎn)一定時(shí)，投資 者偏好期望收益較大的投資組合，期望收益一定的條件下，會(huì)選擇風(fēng)險(xiǎn)較小的投資組合?；谶@些假設(shè)，資本資產(chǎn)定價(jià)模型 CAPM 對(duì)有效組合的期望收益率和風(fēng)險(xiǎn)之間的關(guān)系提供了十分完整的闡述，即風(fēng)險(xiǎn)和收益存在正的相關(guān)性，投資者的預(yù)期收益與其 承擔(dān)的風(fēng)險(xiǎn)成正比。但是， 隨著近些年金融市場(chǎng)的快速發(fā)展，市場(chǎng)上出現(xiàn)越來(lái)越多的違背傳統(tǒng)金融