大类资产配置理论研究评述

发布时间：2018-01-08 21:12

本文关键词：大类资产配置理论研究评述　出处：《经济学动态》2017年02期 　论文类型：期刊论文

【摘要】：有效的大类资产配置被视为成功投资的关键。关于大类资产配置理论的研究始于20世纪30年代,传统的配置策略包括60/40组合、等权重投资组合和均值-方差模型等。20世纪90年代后,为了放宽策略的假设条件,提高理论在实践中的可行性,以GEYR模型为代表的一系列仅基于收益的大类资产配置策略被提出。进入21世纪以后,全球经济波动性加强,为了有效控制风险,最大化分散组合、风险平价组合等仅基于风险的大类资产配置策略成为投资者关注的焦点。与此同时,除了量化模型的应用以外,投资者也开始重视经济周期、政策周期和管理者能力的影响,拥有傲人业绩的大学捐赠基金和可操作性强的美林时钟模型成为投资者借鉴和使用的对象。
[Abstract]:The categories of asset allocation effectively is seen as key to the success of investment research on the categories of asset allocation theory began in 1930s, the traditional allocation strategy including 60/40 combination, the weight of the portfolio and the mean variance model of.20 century after 90s, in order to relax the assumptions of strategy, improve the theoretical feasibility in practice, in order to the GEYR model is represented by a series of only the categories of asset allocation strategy based on benefit is proposed. After entering twenty-first Century, the global economic volatility, in order to effectively control the risk, maximizing portfolio risk parity combination, only the categories of asset allocation strategy based on risk become the focus of investors. At the same time, in addition to the application the quantitative model, investors have started to pay attention to the economic cycle, influence the policy cycle and management ability, with impressive performance of University Endowment Fund and operation The strong Merrill Lynch clock model has become an object for investors to learn and use.

【作者单位】：中央财经大学金融学院;
【基金】：国家自然科学基金项目(71673318,71602198)
【分类号】：F830.59
【正文快照】： 一、引言长期以来,有效的大类资产配置被视为成功投资的关键。这种观点最早源于Brinson et al(1986),该文采用业绩分解法衡量投资政策(大类资产配置)和投资策略(证券选择和市场择时)对投资收益的贡献大小,并指出资产配置政策解释了91只共同基金收益率方差的93.6%。后来,Brinso

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