跟踪误差下积极资产组合投资的风险约束机制

中国管理科学 ›› 2006, Vol. ›› Issue (4): 19-24.

跟踪误差下积极资产组合投资的风险约束机制

方毅, 张屹山

吉林大学商学院, 吉林, 长春, 130012

收稿日期:2005-07-31 修回日期:2006-07-07 出版日期:2006-08-28 发布日期:2012-03-07
基金资助:
国家软科学研究计划资助项目(2005DZS3D069)

Risk Control Mechanism of Active Portfolio Investment with Tracking Error Constraints

FANG Yi, ZHANG Yi-shan

Business School, Jilin University, Changchun 130012, China

Received:2005-07-31 Revised:2006-07-07 Online:2006-08-28 Published:2012-03-07

摘要/Abstract

摘要： TEV(Tracking Error Volatility)优化是积极资产管理的流行方法,但因其存在的固有缺陷,会导致基金管理人员的行为使得投资者的资产承受更大的风险,进而引发委托代理问题.Jorion(2003)认为利用固定TEV(Con-stan-TEV)优化可以对TEV优化加以改进.本文通过对TEV优化和固定TEV优化的研究,发现Jorion(2003)的判断不完全正确,并基于成本、效率、基准组合的作用、风险偏好等方面,进行深入地分析.而且,设计了一种更为有效的风险约束机制.

关键词: 跟踪误差, 信息比, 总风险, 基准组合

Abstract: TEV (Tracking Error Volatility) Optimization which is widely used in active portfolio management has an inherent flaw.The assets of investors have greater risk,owing to the actions of managers.Jorion(2003)noted that C-TEV(Constant-TEV)Optimization can improve performance of the portfolio.The paper concentrates on TEV Optimization and C-TEV Optimization.It explores the conclusion of Jorion is not fully right and discusses efficiency,cost,role of benchmark and risk preference,and designs a more effective risk control mechanism.

Key words: tracking error, information ratio, overall risk, benchmark portfolio

中图分类号:

F840

方毅, 张屹山. 跟踪误差下积极资产组合投资的风险约束机制[J]. 中国管理科学, 2006, (4): 19-24.

FANG Yi, ZHANG Yi-shan. Risk Control Mechanism of Active Portfolio Investment with Tracking Error Constraints[J]. Chinese Journal of Management Science, 2006, (4): 19-24.

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