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本文将风险预算技术应用于机构投资者的行业投资战略风险管理中。为了准确地界定战略风险预算中的风险源,在国内基准证券组合比较少,不可能把战略风险源用可投资的战略基准证券组合进行刻画的情况下,引入多因素模型来刻画行业收益的风险源,建立了基于多因素模型的行业投资战略风险预算模型,并结合三因素模型进行了实证分析。在对行业战略风险进行预算的基础上配置风险,找到了一种能更好地控制行业投资战略风险的方法。
This article applies the risk budget technology to the institutional investor’s strategic investment risk management. In order to accurately define the sources of risk in the strategic risk budget, a multi-factor model is introduced to characterize the risk of the industry’s return, given the relatively small number of domestic benchmark securities and the fact that it is impossible to characterize the strategic risk sources in an investable strategic benchmark portfolio. Source, set up a multi-factor model based on industry investment strategy risk budget model, combined with three-factor model for empirical analysis. Based on the budget of the industry’s strategic risk allocation risk, found a way to better control the strategic risk of investment in the industry.