大类资产配置理论与实践分析
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摘要
随着个人财富的不断增长,居民对于资产管理和配置的需求不断提升。大类资产配置可以分散风险,扩大投资范围,实现财富的保值增值,成为资产管理最重要的方式。本文梳理大类资产配置的相关理论,按照风险和收益目标进行区分,结合当前资产配置存在的问题,提出了相应的对策建议。
As the wealth of residents continues to grow,the demand for asset management and allocation is increasing.Asset allocation of large categories can disperse risks,expand investment scope,and realize the preservation and appreciation of residents’ wealth;therefore,it has become one of the most important capabilities of asset management.This paper has sorted out the relevant theories about asset allocation of large categories and differentiated them according to the risk or return objectives.Combined with the existing problems of asset allocation,this paper puts forward corresponding policy recommendations.
As the wealth of residents continues to grow,the demand for asset management and allocation is increasing.Asset allocation of large categories can disperse risks,expand investment scope,and realize the preservation and appreciation of residents’ wealth;therefore,it has become one of the most important capabilities of asset management.This paper has sorted out the relevant theories about asset allocation of large categories and differentiated them according to the risk or return objectives.Combined with the existing problems of asset allocation,this paper puts forward corresponding policy recommendations.
引文
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[2]Jegadeesh N,Titman S.Returns to buying winners and selling losers:Implications for stock market efficiency[J].The Journal of finance,1993,48(1):65-91.
[3]Yardeni E.Fed’s stock market model finds overvaluation[J]Topical study,1997,38.
[4]Booth D G,Fama E F.Diversification returns and asset contributions[J].Financial Analysts Journal,1992:26-32.
[5]Qian E E.On the Financial Interpretation of Risk Contribution:Risk Budgets Do Add Up[J].Social Science Electronic Publishing2006,4(4):3.
[6]Choueifaty Y,Coignard Y.Toward maximum diversification[J].Journal of Portfolio Management,2008,35(1):40.
[7]Roncalli T,Weisang G.Risk Parity Portfolios with Risk Factors[J].Mpra Paper,2012(3).
[8]Clare A,Seaton J,Smith P N,et al.The trend is our friend:Risk parity,momentum and trend following in global asset allocation[J].Journal of Behavioral and Experimental Finance,2016,9:63-80.
[9]Markowitz H.Portfolio selection[J].The journal of finance,1952,7(1):77-91.
[10]Sharpe W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].The journal of finance,1964,19(3):425-442.
[11]Lintner J.Security prices,risk,and maximal gains from diversification[J].The journal of finance,1965,20(4):587-615.
[12]Rubinstein M,Leland H E.Replicating options with positions in stock and cash[J].Financial analysts journal,1981:63-72.
[13]Black F,Jones R W.Simplifying portfolio insurance[J].The Journal of Portfolio Management,1987,14(1):48-51.
[14]Estep T,Kritzman M.TIPP:Insurance without complexity[J].The Journal of Portfolio Management,1988,14(4):38-42.
[15]Black F,Litterman R.Global portfolio optimization[J].Financial analysts journal,1992:28-43.
[16]Michaud R O,Ma T.Efficient Asset Management:A Practical Guide to Stock Portfolio Optimization and Asset Allocation[J].Review of financial studies,2001,14(3):901-904.
[17]Ledoit O,Wolf M.Honey,I Shrunk the Sample Covariance Matrix[J].The Journal of Portfolio Management,2004,30(4):110-119.
[18]Faber M.A quantitative approach to tactical asset allocation[J].The Journal of Wealth Management,2007,9(4):1-70.
[19]Greetham T,Hartnett M.The investment clock[J].Journal of Women's Health,2004.
[20]管清友.资产配置理论的演进与应用[J].中国外汇,2017(20):12.