量化非高斯增益

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2023-11-28 DOI:10.1057/s41260-023-00338-9

David Allen, Stephen Satchell, Colin Lizieri

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引用次数: 0

摘要

在本文中，我们通过对均值方差投资者偏离正态性的核算来量化经济收益。我们提供了两个模型来解释金融收益的关键经验规律:随机波动率、非对称收益、重尾和尾依赖性。我们表明，对偏离常态的考虑导致预期效用的显著收益，与典型的主动管理费相当或超过前者。预期效用的大部分提升来自于对随机波动率的考虑。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Quantifying the non-Gaussian gain

查看原文本刊更多论文

Quantifying the non-Gaussian gain

In this paper, we quantify the economic gain from accounting for departures from normality for the mean-variance (MV) investor. We provide two models that account for the key empirical regularities of financial returns: stochastic volatility, asymmetric returns, heavy tails and tail dependence. We show that accounting for departures from normality leads to significant gains in expected utility commensurate with or exceeding typical active management fees. The majority of the uplift in expected utility derives from accounting for stochastic volatility.

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来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics