国际政府债券投资组合的定价与构建

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-09-08 DOI:10.1016/j.jfineco.2025.104152

Otto Randl, Giorgia Simion, Josef Zechner

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引用次数: 0

摘要

本文通过将收益投射到无条件均值方差有效（UMVE）投资组合上，导出了发达市场货币对冲政府债券的随机折现因子。国际债券的定价风险与货币的定价风险根本不同。UMVE投资组合的夏普比率达到单个市场平均水平的两倍以上，市场风险价格在危机和高通胀分散时期达到峰值。虽然债券回报表现出很强的因素结构，但常见的变化来源与定价风险的关系很弱。用幼稚策略或基于因素的策略对冲未定价风险，即使在投资组合权重受限的情况下，也能显著提高夏普比率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Pricing and constructing international government bond portfolios

This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean–variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong factor structure, common sources of variation are only weakly connected to priced risks. Hedging unpriced risks in naive or factor-based strategies significantly improves Sharpe ratios, even under portfolio weight constraints.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.