A 股策略专题
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目录
引言 ........................................................................................................................................................................5
1.大类资产配置：内涵与外延 ............................................................................................................................6
1.1 如何理解大类资产？ ..............................................................................................................................6
1.2 如何理解配置？ .....................................................................................................................................6
1.3 大类资产配置：内涵与外延的辨析 .....................................................................................................7
1.3.1 “大类资产配置”外延的多元化 .............................................................................................7
1.3.2 大类资产配置与股、债、商品、地产等分项研究 .................................................................7
1.3.3 大类资产配置与宏观研究 ..........................................................................................................7
1.3.4 如何看待大类资产配置与量化模型？ .....................................................................................8
1.3.5 大类资产配置与证券研究“2+1”思维 ...................................................................................8
2. 大类资产配置：传统框架 ..............................................................................................................................9
2.1 资产所有者：资产 vs 负债、收益 vs 风险 .........................................................................................9
2.1.1 投资目标：收益与风险的量化 .................................................................................................9
2.1.2 投资限制 ...................................................................................................................................10
2.2 战略资产配置： 六大步骤 ................................................................................................................. 11
2.3 大类资产配置模型：从均值方差、BL 模型到风险平价 ..................................................................13
2.3.1 均值方差模型（MVO） .............................................................................................................13
2.3.2 附加约束 ...................................................................................................................................14
2.3.3 重抽样 .......................................................................................................................................14
2.3.4 Black-Litterman 模型与逆向优化 ......................................................................................15
2.3.5 非正态分布模型 .......................................................................................................................16
2.3.6 风险预算及风险平价模型 .......................................................................................................17
2.3.7 其他资产配置模型 ...................................................................................................................18
2.4 战术资产配置 .......................................................................................................................................19
2.5 投资方式选择 .......................................................................................................................................20
2.5.1 被动投资与主动投资 ...............................................................................................................20
2.5.2 投资管理人的选择 ...................................................................................................................21
2.6 货币对冲
...............................................................................................................................................23
2.7 再平衡...................................................................................................................................................24
3 大类资产配置：因子投资 ..............................................................................................................................24
3.1 因子的含义...........................................................................................................................................24
3.2 理论溯源...............................................................................................................................................25
3.3 因子投资框架 vs 量化投资多因子模型 .............................................................................................26
3.4 用因子解析资产收益 ...........................................................................................................................27
3.4.1 股票收益：市场、行业、地域 3 因子
...................................................................................27
3.4.2 汇率风险：汇率的影响及因子解析 .......................................................................................28
3.4.3 另类资产：与股债是否存在相同的因子？ ...........................................................................29
3.4.4 常见因子 ...................................................................................................................................30
