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MBA毕业论文_管新规下H银行客户的资产配置优化策略研究

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近些年,我国在经济新常态化的轨道下持续稳步发展,经济开放度不断 增加。随着金融市场及商业银行体制的不断健全与完善,各种新兴金融资产 也被频频推出。与此同时,市场上不断发生系统性金融风险和资产荒怪象, 导致优质适宜的大类资产难寻。针对此类问题,我国在十九大之后出台了资 管新规政策,对机构各方投资的各类资产的性质、风险把控等方面做出了更 加严格细致的要求。在资管新规的新环境下,资产配置成了不可避免的话题, 根据市场和投资者的需要动态调整各类资产的配比变得尤为重要。 在资产管理方面资产配置有着举足轻重的地位,有效的资产配置不仅能 够实现个人资产的保值增值,更重要的是,可以科学合理的分配整个社会公 有资源,促进经济持续稳定的进步和发展。作为社会财富的拥有者和创造者, 居民个人的消费投资习惯有效地推动了我国金融机构的稳健发展和经济社 会财富的积累。随着居民理财意识的强化和金融产品种类的丰富,资产配置 的选择日渐多样化和复杂化,如何合理有效的配置个人资产,达到个人可支 配收入的保值增值目标也越来越被学术界所关注。 本文对于如何有效地进行 H 银行客户的资产配置问题从理论研究循序 渐进到实践的研究。首先通过资产配置的研究,建立 Black-Litterman 模型, 深入研究资产组合管理的相关论述和理论,进而分析资管新规使用的环境。 其次,在以上研究的基础上,合理建立包括宏观变量以及资产配置两方面的 个人投资收益模型,即 VAR 模型。最后,充分利用该模型实现资产收益的 科学预测,然后基于得出收益结果 Q 反过来作为变量输入至之前建立的 Black-Litterman 模型中去,从而计算各类资产的优化配置比例。最后,我们 将得出的结果同 Markowitz 均值-方差模型得出的收益结果进行比对,若结果 符合预期,我们根据各类资产的投资收益情况对 H 银行客户目前的资产配比 进行调整,适当对不同资产进行增减,实现最优资产组合。 关键词: 资产配置;资管新规;Black-Litterman 模型;VAR 模型II Abstract In recent years, China has continued to develop steadily under the track of new economic normalization, and the degree of economic openness has continued to increase. With the continuous improvement and improvement of the financial market and commercial banking system, various emerging financial assets have been frequently launched. At the same time, systemic financial risks and asset paradoxes continue to occur in the market, which makes it difficult to find high-quality and suitable large-scale assets. In response to such problems, China my country introduced new regulations and policies for asset management after the 19th National Congress. Major institutions need to carry out more detailed classification and screening of various asset values and risks. In the context of the new asset management regulations, asset allocation is increasingly favored by investors, especially institutional investors. It is particularly important to dynamically adjust the allocation proportion of large-scale assets and conduct portfolio investment management. Asset allocation plays a pivotal role in asset management. Effective asset allocation can not only maintain and increase the value of personal assets, but more importantly, it can scientifically and rationally allocate the public resources of the entire society and promote sustained and stable economic progress and development. As the owner and creator of social wealth, residents' personal consumption and investment habits have effectively promoted the steady development of my country' s financial institutions and the accumulation of economic and social wealth. With the strengthening of residents' financial management consciousness and the enrichment of financial products, the choice of asset allocation is becoming more and more diversified and complicated. How to allocate personal assets reasonably and effectively to achieve the goal of maintaining and increasing the value of personal disposable income is more and more popular in academic circles Attention. This article discusses the issue of financial asset allocation from two aspects, theoretical research and empirical research. With the help of the research on asset allocation and the combing of modern portfolio theory, this paper proposes the basic framework of the Black-Litterman model for the research of asset allocation in the new asset management environment constructed by this paper. Make fullIII use of the model to realize the scientific prediction of asset returns, and then input the resulting income result Q as a variable into the previously established Black-Litterman model to calculate the optimal allocation ratio of various assets. Finally, we compare the results obtained with the income results obtained by the Markowitz mean-variance model. If the results are in line with expectations, we will adjust the current asset ratio of H Bank customers based on the investment income of various assets. Increase and decrease different assets to achieve the optimal asset portfolio. Key words: Asset allocation; New Regulations on Asset Management; Black-Litterman model; VAR modelIV 目录 中文摘要............................................................................................Ⅰ Abstract.............................................................................................Ⅱ 目录.....................................................................................................IV 第一章 绪论........................................................................................ 1 1.1 研究背景与意义....................................................................................1 1.2 研究现状................................................................................................2 1.2.1 国外研究现状.............................................................................................2 1.2.2 国内研究现状.............................................................................................4 1.3 研究思路、方法和框架........................................................................7 1.3.1 研究思路.....................................................................................................7 1.3.2 研究方法.....................................................................................................7 1.3.3 研究框架.....................................................................................................9 1.4 论文结构与主要创新............................................................................9 1.4.1 论文结构.....................................................................................................9 1.4.2 主要创新...................................................................................................10 第二章 相关概念及理论综述..........................................................12 2.1 资管新规政策解析..............................................................................12 2.2 资产配置的相关概念..........................................................................12 2.2.1 资产配置...................................................................................................12 2.2.2 个人资产种类...........................................................................................13 2.2.3 居民个人资产配置...................................................................................15 2.3 投资组合理论......................................................................................16 2.3.1 Markowitz 的均值-方差理论..................................................................16V 2.3.2 Sharpe 资本资产定价理论(CAPM)..........................................................18 2.3.3 Black-Litterman 资产配置模型............................................................20 2.4 VAR 模型概述.......................................................................................22 第三章 资管新规对 H 银行客户资产配置影响分析..................... 23 3.1 H 银行简介...........................................................................................23 3.2 H 银行客户资产配置现状...................................................................23 3.2.1 H 银行客户概况........................................................................................23 3.2.2 H 银行客户资产配置需求分析................................................................24 3.3 H 银行客户资产配置案例分析...........................................................26 3.4 资管新规对居民个人资产配置的影响分析......................................27 3.4.1 打破刚性兑付...........................................................................................27 3.4.2 理财产品的转变.......................................................................................28 3.4.3 银行结构性存款规模剧增.......................................................................29 第四章 基于 Black-Litterman 模型的实证分析..........................31 4.1 Black-Litterman 模型的基本思想...................................................31 4.2 数据选取..............................................................................................32 4.3 构建 VAR 模型预测观点收益..............................................................33 4.3.1 单位根检验...............................................................................................33 4.3.2 协整检验...................................................................................................34 4.3.3 格兰杰因果关系检验...............................................................................35 4.3.4 模型的确定及评价...................................................................................34 4.4 Black-Litterman 模型的实证结果...................................................37 4.4.1 隐含均衡收益率.......................................................................................37 4.4.2 预期收益率...............................................................................................38 4.4.3 Black-Litterman 模型与均值方差模型资产配置比较....................... 39 4.5 本章小结..............................................................................................41 第五章 相关建议..............................................................................43VI 5.1 监管建议..............................................................................................43 5.1.1 为资管新规落地营造良好资本市场环境...............................................43 5.1.2 创新金融工具投资范围...........................................................................43 5.2 资管新规下个人资产配置建议..........................................................43 5.2.1 选择正确的资产配置模型.......................................................................44 5.2.2 资产组合实现风险控制...........................................................................44 5.2.3 着重于稳定固收类资产...........................................................................44 5.2.4 做好时间规划,搭配中长期稳健资产....................................................44 第六章 结论与展望..........................................................................45 6.1 研究结论................................................................................................................45 6.2 研究不足与展望....................................................................................................46