Research On The Optimization Problem Of Selected Fund Portfoli

As a kind of pooled financial product,the fund has revealed many problems in its operation and management.This paper takes selected funds as the research subject and finds that they have shown unsatisfactory return performance,weak active management ability and inadequate use of derivatives in the process of their operation,especially in the downward market phase when the return is lower than the risk-free rate,the lack of dynamic adjustment of underlying asset weights according to the time-varying characteristics of the market,and the insufficient use of derivatives such as stock index futures.In response to the problems in the actual operation of the selected funds,this paper constructs a dynamic mean-CVaR model with securities financing business,which solves the parameter sensitivity problem of the traditional portfolio model and also extends the static single-period portfolio model to a continuous dynamic model.This paper also estimates the dynamic correlation coefficients between the sample fund return series and the CSI 300 stock index futures return series using the DCCGARCH model,and constructs a dynamic minimum CVaR hedging model considering transaction costs on this basis.In the empirical stage,the constructed model is used to optimize the portfolio of the selected funds in different market environments,specifically to investigate whether the model can improve the return performance of the selected funds in different market stages,and to investigate the impact of hedging on the return performance of the funds by using the CSI 300 stock index futures to dynamically hedge the selected funds in different market environments.The results show that(1)the optimized fund returns are higher than the actual return performance of the sample funds in different market conditions,and the optimized portfolio obtains more reward per unit of risk compared to the actual performance of the funds,and there is indeed room for optimization of the actual portfolio of the selected funds.(2)Dynamically adjusting the investment weights of underlying assets based on the time-varying characteristics of the market and using securities financing to short individual stocks can effectively improve the fund’s return performance in different market environments.The convergence of fund returns before and after dynamic optimization demonstrates that the model constructed in this paper is stable in all market environments and has a good effect on fund portfolio optimization.(3)Hedging in different market conditions can effectively reduce the market risk encountered by the fund portfolio.Especially in bear markets and market crashes,using stock index futures to hedge the fund’s portfolio can also improve the fund’s return performance.(4)There is a negative relationship between the variable trading rate of equity index futures and the hedging ratio;an increase in the variable trading rate will lead to a decrease in the hedging ratio.