| 中国开放式股票型基金的风险偏好特征——基于核正则化最小二乘法的分析 |
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| 引用本文：白 雪1，牛 锋2.中国开放式股票型基金的风险偏好特征——基于核正则化最小二乘法的分析[J].财经理论与实践,2017,(5):46-52 |
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| 中文摘要:基于多种数据生成方式全面检验了核正则化最小二乘法（KRLS）的样本拟合效果和样本外预测能力，在此基础上使用KRLS方法对传统定价模型进行修正，分析我国四种类型开放式股票型基金的风险偏好特征。研究发现：与广义线性模型相比，KRLS方法能够有效捕捉随机变量之间复杂的非线性相关关系。从横截面维度来看，我国不同风格的基金均偏好于投资高市值股票，其中指数型基金的投资比例最高；除成长型基金外，价值型和平衡型基金也均热衷于投资“成长型”股票。从时间维度来看，我国指数型基金的风险偏好相对稳定，而三类主动型基金表现出明显的风险调整行为，并且风险偏好的变化特征较为相似。 |
| 中文关键词:基金风格 风险偏好 风险调整 KRLS |
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| The Risk Preference Characteristics of Chinese Open--ended Equity Fund --An Analysis Based on the Kernel Regularized Least Squares |
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| Abstract:This paper performs an overall test on the in sample fitting and out of sample forecasting performances of Kernel Regularized Least Squares (KRLS) based on multiple data generation processes.Then，we modify the traditional pricing model using KRLS and analyze the risk preference characteristics of Chinese open ended equity funds of four investment styles.Results show that KRLS outperforms the generalized linear models when dealing with complex nonlinear dependence.In addition，the large cap stocks are preferred by mutual funds of different investment styles，among which the index funds have the highest investment weights.Moreover，not only the growth funds but also the value and balance funds have positive risk exposure on growth stocks.From the time dimension of view，the three kinds of active funds have evidently time varying risk preferences and exhibit similar risk adjustment behavior while the index funds have relatively stable risk preference. |
| keywords:fund style risk preference risk adjustment KRLr |
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