| With the development of market economy and the expansion of internationalization of China, there will be a splendid future for securities investment funds industry. In 2004 the document of "State Council's several opinions about impelling reform and open and stable development of capital market" points out we should develop securities investment funds with all our strength. In the same year "the law of securities investment funds" and its six corresponding legislations' formally implementing indicates further that the securities investment funds industry in our country is facing a good and rapid development period. At the same time, with securities funds' development and strengthening, investment thoughts are required to be updated. As an investment style of pursuing stable return and avoiding market risk, steady investment is being valued and accepted. With the maturing of securities market and the enhancing of investors' requirements, steady investment will be a valid investment mode that leads market hereafter.Although often mentioned, steady investment has always been limited to a superficial concept. In the securities investment field, steady investment has been accepted by most investors, but there is no plenty research system about it so far. So the dissertation begins an exploratory study about steady investment. The dissertation first summarizes the theory about securities funds and investment portfolio, next adds liquidity element to the "mean- variance" model to construct a "steadiness factor", then explores the constructing of steady investment mode considering synthetically return, risk and liquidity, last does empirical analysis making use of stock market data. The main content of the dissertation is as follows:The first chapter analyzes the research background of the dissertation, expounds the related research documents, defines many concepts, and summarizes the train of thought, method, framework, difficulties and innovations of the dissertation.The second chapter summarizes some concepts and theories and portfolio models about securities investment funds, then expounds innovatively theory designing of steady investment of open-end funds, including contrast research between aggressive investment and steady investment, applicable conditions and academic construction of steady investment and so on.The third chapter is about the investment risk management of securities funds. Describing and evaluating risk measuring methods of securities funds at present; analyzing the meanings and procedures of risk management; and putting forward policies and techniques of market risk management under steady investment mode, that is: scatterring risk by assets allocation, lowing risk by long-term investing, evading risk by using financial derivative tools and diverting risk by many other channels.The forth chapter is about the liquidity management of funds portfolio, because liquidity is a very important aspect of constructing steady investment mode. The chapter first introduces the meaning, forming mechanism and measuring indexes of liquidity; then analyzes and establishes risk measuring indexes of open-end funds; at last puts forward the characters of liquidity risk of open-end funds under Chinese capital market situation and the management measures that should be taken aimed at the characters.The fifth chapter discusses about portfolio choice of long-term investment. The chapter firstly analyzes the difference between short-term portfolio and long-term portfolio, secondly analyzes the conditions under that stocks is a safe assets by VAR model and a case of single risk assets and constant real interests; then discusses about assets allocation at continuous time; finally analyzes the questions about long-term investors and hedging of volatility risk.The sixth chapter discusses the application of steadiness principle in investment strategic from an angle of stocks selecting. The main content is: macroscopic economy analysis, an evaluating method of industry investment value -"constitutiveanalysis", the theory and method of constructing a steady stocks pool. At last the chapter does empirical analysis about constructing a steady stocks pool.The seventh chapter summarizes the theory about securities portfolio, analyzes the steps that should be followed in the course of investing and managing of open-end funds, and does empirical analysis about steady investment. The result indicates, the return, risk and variant coefficient of three-dimensional portfolio that introduces "steadiness factor" is superior to that of two-dimensional portfolio that only includes return and risk, and is also superior to that of market index.The eighth chapter is the summary and outlook.The main conclusion of the dissertation is:(1) Defining "steady investment". There are many meanings about "steadiness". In economic field "steadiness" often refers the ability that resists passive events. In financial field "steady investment" refers an investment mode that can limit risk to a certain range and obtain a higher return and at the same time keep assets well liquid. Liquidity, risk and return are three indispensable elements in the meaning of steady investment. Long-term investment is a sufficient condition of steady investment. Steady investment is often needed by the investors who are risk-averse.So, the meanings of steady investment should include:1) Keeping assets good liquidity;2) Controlling risk in a certain range;3) Obtaining certain return that is higher at least than cash interests of medium-term and long-term by investing;4) Keeping investment varieties multiplex as far as possible;5) Choosing long-term investing as far as possible.(2) The Liquidity risk management of open-end funds is an important aspect of steady investment. At present there are several characters about the liquidity risk of open-end funds in our country: the securities market system in that open-end funds exists is not perfect and the trade cost is too high; there is few investment tools; the expansion of institutional investors is possible to lead to a result that the liquidity risk of open-end funds is higher than that of mature markets in some degree; our investors lack scientific investment thoughts and the fund managers lack steadiness. So, themanagement can be strengthened from several aspects: 1) evaluating liquidity and allocating assets appropriately; 2) building redemption predicting mechanism and strengthening budget management; 3) widening financing channels and running in debt; 4) limiting redemption and designing rates; 5) completing market functions and innovating finance; 6) optimizing investors structure and reinforcing managing holders.(3) The multiplex superiors choosing method of constructing "steady stocks pool" by multivariate statistics is feasible. It can choose the stocks which steadiness premium are above and beyond 0 and that have greater investment value according to steadiness premium arrayed.(4) The three-dimensional portfolio model constructing that adds "steadiness factor" based on liquidity is successful, because the return, risk and variant coefficient of three-dimensional portfolio is superior to that of two-dimensional portfolio that only includes return and risk, and is also superior to that of market index. Three-dimensional portfolio model can consider generally return, risk and liquidity and make the portfolio more steady and so can avoid risk more effectively. So the portfolio added liquidity is applicable to steady investment, especially to that of open-end funds that have higher requirements to liquidity.The primary innovations of the dissertation include:(1) Summarizing securities portfolio theory, style investment, long-term investment and the development trend of portfolio theory. Expounding the content and system of securities portfolio theory from several angels.(2) Defining "steady investment" and putting forward the concept and frame of "steady investment" after analyzing its significance and status quo, and doing empirical analysis about "steady investment".(3) Putting forward the method of constructing "steady stocks" using qualitative and quantitative method and multivariate statistics on the basis of stock selecting theory, and doing empirical analysis.(4) Analyzing liquidity risk management of open-end funds, and putting forward the measures of liquidity risk management combining the situation of current capital market. |
