1、復旦大學碩士學位論文基金配置策略的實證研究姓名：楊劍申請學位級別：碩士專業(yè)：金融學指導教師：劉紅忠20080412052015273楊劍基金配置策略的實證研究AbstractIntheyear2001and2007，thestockmarketofChinahasexperiencedthebearandbullmarket。Theinstitutiontheauthorworksforadoptsthe“sellhi曲andbuylo

2、w’strategyTheachievementobtainedinthebearmarkethasovercomethemarket，butfallsbehindthemarketinthebullmarketContrarytotheInstitutionalinvestorssomeindividualinvestorswhotakethe“pursuerisesandkillfalls“strategysurfereheavyl

3、ossesinthebearmarketandmakesatisfactoryinvestmentperformanceinthebullmarketStillothersomeinvestorswhoadoptthe“buyandhold”strategyobtaintheinvestmentachievementwhichiSalSOenviable刀jeauthorembarksfromtheabovephenomenonandh

4、asfoundthetheorybasisthroughreadingmassivematerialThesetheorieswerediscussedandstudiedFinally‘n‘ightofChinesepita‘market，funddlSCUssedandstudiedlnallyinllotChinesecaoitalmarkettund●，allocationstrategyiSappliedtothestockm

5、arketandbondmarketobtainedthefollowingconclusion：ConstantmixedstrategyiSsuitableforadjustmentmarketwithnomegatrendandworstforbearmarketPortfolioinsurancestrategyiSfittothemarketwithmegatrendBuyandholdiSacenterstrategyThe

6、StockmarketofourcountryinJanuary23rd2002toAugust242004iSadjustmentmarketwithnomegatrendConstantmixedstrategyisthebestIntheperiodofApril7th，2004andJune6，2005isabearmarketThemostsuperiorinvestmentstrategyisPortfolioinsuran

7、cestrategyEmpiricalresultsareconsistentwiththeexpectedtheoreticalwhichiSpowerfulprooffortheoreticalanalysisBetweenthetimeJune6，2005andOctober16，2007，thestockmarketiSabullmarket，althoughportfolioinsurancestrategycanyieldt

8、hegreatestnetandthenetgrowth，theriskundertakenisoversizedTheriskpreferenceinvestorcantakeitintherisingmarketLookingfromtheSharpindexincertaindispositionscope，constantmixedstrategyismostsuperiorneriskloathinginvestorcanta