资产配置的ICAPM框架

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-01-06 DOI:10.3905/jpm.2023.1.457

Peter Mladina

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引用次数: 0

摘要

资产配置必须有一个经验有效、实践稳健的理论基础。跨期CAPM (ICAPM)投资组合理论类似于有时在实践中使用的套期保值/寻求回报的投资组合方法，但具有良好的理论基础、经验支持和功能实现的吸引力特征。ICAPM投资组合理论在很大程度上解决了现代投资组合理论和标准CAPM投资组合理论的关键问题，同时为负债相关、目标为基础、纯资产的资产配置提供了统一的框架。作者记录了ICAPM投资组合理论在实践中的应用，解决了与负债对冲、风险资产组合优化和约束、投资组合选择和蒙特卡洛模拟以及扩展到基于目标和仅资产的资产配置相关的关键实施和技术问题。

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An ICAPM Framework for Asset Allocation

Asset allocation should rely on a sound theoretical foundation that is empirically valid and robust in practice. Intertemporal CAPM (ICAPM) portfolio theory resembles the hedging/return-seeking portfolios approach sometimes used in practice, but with a sound theoretical foundation, empirical support, and attractive features for functional implementation. ICAPM portfolio theory largely resolves key issues with modern portfolio theory and standard CAPM portfolio theory, while providing a unified framework for liability-relative, goals-based, and asset-only asset allocation. The author documents the application of ICAPM portfolio theory to practice, addressing key implementation and technical issues related to the liability hedge, risky-asset portfolio optimization and constraints, portfolio selection and Monte Carlo simulation, and extensions to goals-based and asset-only asset allocation.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.