全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

, PP. 63-69

Keywords: 战略资产配置,长期投资者,收益可预测性,股票投资比例

Full-Text   Cite this paper   Add to My Lib

Abstract:

?本文研究了资产收益可预测性影响长期投资者最优资产组合选择的理论问题,并结合中国证券市场历史数据做了相应的实证研究。研究结论表明:在长期投资期限下中国股票市场收益具有可预测性,长期投资者资产组合可以比短期投资者配置更高权重的风险资产。由此本文提出,可相应提高我国社保基金、企业年金和保险公司等长期投资者战略资产配置中股票类风险资产的投资比例上限。

References

[1]  Markowitz H M. Portfolio selection [J]. Journal of Finance, 1952, 7: 77-91.
[2]  Samuelson P A. Lifetime portfolio selection by dynamic Stochastic Programming [J]. Review of Economics and Statistics, 1969, 51: 239-246.
[3]  Hodrick R. Dividend yields and expected stock returns [J]. Review of Financial Studies, 1992, 5: 357-386.
[4]  Campbell J Y, Viceira L M. Strategic asset allocation: portfolio choice for long-term investors [M]. Oxford:Oxford University Press, 2002.
[5]  Wachter J A. Portfolio and consumption decisions under mean-reverting returns: an exact solution for complete markets [J]. Journal of Financial and Quantitative Analysis, 2002, 37: 63-91
[6]  Keim D B, Stambaugh R F. Predicting returns in the stock and bond markets [J]. Journal of Financial Economics, 1986, 17: 357-390.
[7]  Campbell J Y. Stock returns and the term structure [J]. Journal of Financial Economics, 1987, 18: 373-399.
[8]  Campbell J Y, Viceira L M. Consumption and portfolio decisions when expected returns are time varying [J]. The Quarterly Journal of Economics, 1999, 114: 433-495.
[9]  Stambaugh R F. Predictive regressions [J]. Journal of Financial Economics, 1999, 54: 375-421.
[10]  Amihud Y. Illiquidity and stock returns: cross-section and time-series effects [J]. Journal of Financial Markets, 2002, 5: 31-56.
[11]  Duffie P. Presidential address: asset price dynamics with slow-moving capital [J].The Journal of Finance, 2010, 4: 1237-1267.
[12]  Bacchetta P, van Wincop E. Infrequent portfolio decisions: a solution to the forward discount puzzle [J]. American Economic Review, 2010, 100(3): 870-904.
[13]  Campbell J Y, Shiller R J. Stock prices, earnings, and expected dividends [J]. Journal of Finance, 1988, 43: 661-676.
[14]  Fama E F, French K R. Business conditions and expected returns on stocks and bonds [J]. Journal of Financial Economics, 1989, 25: 23-49.
[15]  Cochrane J H. New facts in finance [J]. Economic Perspectives Federal Reserve Bank of Chicago, 1999, 23: 36-58.
[16]  Fama E F. Efficient capital markets: II [J]. Journal of Finance, 1991, 46: 1575-1617.
[17]  Barberis N C. Investing for the long run when returns are predictable [J]. Journal of Finance, 2000, 55: 225-264.
[18]  Boudry W, Gary P. Assessing the economic significance of return predictability: a research note [J].Journal of Business Finance and Accounting, 2003, 30(9-10): 1305-1326.
[19]  Brennan M J,Schwartz E S, Lagnado R.Strategic asset allocation [J]. Journal of Economic Dynamics and Control, 1997, 21: 1377-1403.
[20]  刘海龙.养老基金动态资产配置研究评述 [J].系统管理学报, 2011, 20(1): 1-9.
[21]  Kandel S R, Stambaugh F. On the predictability of stock returns: an asset allocation perspective [J]. Journal of Finance, 1996, 51: 385-424.
[22]  Zellner A. An Introduction to Bayesian Inference in Econometrics [M].New York: John Wiley and Sons, 1971.
[23]  Hamilton J D A. Time Series Analysis [M].Princeton: Princeton University Press, 1994.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133