Portfolio choice, attention allocation, and price comovement

This paper models the attention allocation of portfolio investors. Investors choose the composition of their information subject to an information flow constraint. Given their expected investment strategy in the next period, which is to hold a diversified portfolio, in equilibrium investors choose to observe one linear combination of asset payoffs as a private signal. When investors use this private signal to update information about two assets, changes in one asset affect both asset prices and may lead to asset price comovement. The model also has implications for the transmission of volatility shocks between two assets.     

Stochastic optimization applied to self-financing portfolio: does bequest matter?

The article studies stochastic optimization of an intertemporal consumption model to allocate financial assets between risky and risk-free assets. We use a stochastic optimization technique, in which utility is maximized subject to a self-financing portfolio constraint. The papers in literature have estimated the errors of Euler equations using data from financial markets. It has been shown that it is sufficient to test the first order Euler equation implied by the model. However, they all assume a constant consumption–wealth ratio that constrains the boundary conditions, hence influencing the coefficient of the risk premium. The main contribution of our article is that we drop the assumption of a constant consumption–wealth ratio. We have an analytical solution using a utility maximization model with a stochastic self-financing portfolio. We introduce a terminal condition of wealth with and without bequests. We also simulate the stochastic optimization with a self-financing portfolio, distinguishing risk neutral investors (γ-low) from high risk averse investors (γ-high). We show that the model with bequest has a higher level of wealth and a smoother decline of consumption over time than the model with no bequest at the end of the period. The model with no bequest has the same level of consumption and a sharp fall at the end of the period. Risk averse agents with high return assets have a higher amount of wealth than risk-neutral agents with lower return assets.     

考虑基准资产的动态投资组合选取

职业基金经理的目标经常是希望自己的投资组合以稳定的表现能够超越所某一基准资产或组合。因此本文给出一个考虑基准资产的动态均值——方差投资组合选取模型。假设状态之间的转移遵循马氏过程,给定状态转移矩阵,可以得到对风险资产最优投入的解析表达式。此表达式表明对风险资产的投入由三项构成,前两项是不考虑基准资产时对风险资产的投入,最后一项与基准资产有关;在基准资产上的权重由基准资产收益的大小来决定,与积极投资组合管理者的风险厌恶程度无关;随着风险厌恶程度的增加,管理者会减少在风险资产上的投入。数值分析显示考虑基准资产的投资组合是一个积极的投资组合。     

A possibilistic portfolio adjusting model with new added assets

In order to fit changes in financial markets, portfolio managers often need to revise an existing portfolio. This article analyzes the portfolio adjusting problem with new added assets. We propose a possibilistic portfolio adjusting model with transaction costs and bounded constraints on holdings of assets, which can be transformed into a linear programming problem. Both the lower bounds on holdings and the total investment constraints influence the optimal portfolio adjusting strategies. Furthermore, a numerical example of a portfolio adjusting problem is given to illustrate our proposed effective approaches. The numerical results show the case that investors do not need to invest total capital and to hold all assets in the portfolio for some required return levels.     

商业银行分支机构贷款组合优化配置模型及市场化管理思路

以商业银行的经营性分支机构为研究对象,用信贷客户综合收益和经济资本占用系数确定银行的收益目标和约束条件,建立了基于风险调整后资本收益率(RAROC)最优的贷款组合优化配置模型,改进了以往贷款组合模型需要假设收益目标或风险承受度的缺陷。探讨了综合收益RAROC最大化目标下的贷款组合"软约束"市场化管理方法,有效补充了当前商业银行行政色彩浓厚的规模"硬约束"计划管理方式。     

Portfolio choice,consumption and welfare when rates of return are related to prices of consumer goods

This paper generalizes the two period model of portfolio selection under uncertainty by decomposing the aggregate consumption in each period into several goods, the prices of some of which are positively related to rates of return on some assets. The effect of these relations on the choice of portfolio is analyzed. The effects on the chosen portfolio of a lateral translation and of a mean preserving increase in the risk of the distributions of the random variables are analyzed. A generalization of the Hicks compensation to the case where the prices of consumer goods are positively related to rates of return on assets is offered and welfare implications are drawn.     

Endogenous current account balances in a world CGE model with international financial assets

This paper presents an applied computable general equilibrium world model with financial assets and endogenous current account, and capital and financial account balances. The capital and financial account equilibrium conditions, rather than exogenous rules, constrain the current account balance. International capital flows which balance the current account are constrained by supply-and-demand equilibrium conditions on the market for international debt securities, under portfolio managers' optimizing behavior. The asset–liability structure of the financial portfolio is endogenous, and it is possible for a country-agent to have negative net financial assets. In simulations, the interaction of portfolio choices with trade supply and demand behavior leads to endogenous sign reversals in some current account balances, and it results in a different allocation of investment among regions, compared to a model with exogenously determined current account balances. In the reference scenario, this allocation generates growth that is about the same globally, but differently distributed between regions.     

A large CVaR-based portfolio selection model with weight constraints

Although the traditional CVaR-based portfolio methods are successfully used in practice, the size of a portfolio with thousands of assets makes optimizing them difficult, if not impossible to solve. In this article we introduce a large CVaR-based portfolio selection method by imposing weight constraints on the standard CVaR-based portfolio selection model, which effectively avoids extreme positions often emerging in traditional methods. We propose to solve the large CVaR-based portfolio model with weight constraints using penalized quantile regression techniques, which overcomes the difficulties of large scale optimization in traditional methods. We illustrate the method via empirical analysis of optimal portfolios on Shanghai and Shenzhen 300 (HS300) index and Shanghai Stock Exchange Composite (SSEC) index of China. The empirical results show that our method is efficient to solve a large portfolio selection and performs well in dispersing tail risk of a portfolio by only using a small amount of financial assets.     

A Theory of Liquidity and Regulation of Financial Intermediation

This paper studies a Diamond–Dybvig model of providing insurance against unobservable liquidity shocks in the presence of unobservable trades. We show that competitive equilibria are inefficient. A social planner finds it beneficial to introduce a wedge between the interest rate implicit in optimal allocations and the economy's marginal rate of transformation. This improves risk sharing by reducing the attractiveness of joint deviations where agents simultaneously misrepresent their type and engage in trades on private markets. We propose a simple implementation of the optimum that imposes a constraint on the portfolio share that financial intermediaries invest in short-term assets.     

Potential Diversification Benefits In The Presence Of Unknown Structural Breaks: An Australian Case Study

It is reasonable to suggest that a portfolio manager with direct property diversified by sector or region is more interested in strategic than in tactical asset allocation. However, even with strategic allocations of property the portfolio manager needs a regular monitoring of the inter-relationships amongst assets comprising the portfolio to ensure that unexpected events do not 'permanently' alter such relationships. One procedure for ascertaining whether assets are inter-related over the long run (and therefore offer few diversification benefits) is through cointegration analysis. A difficulty with conventional cointegration analysis, however, is that it is unable to accommodate changes in equilibrium relationships that might occur due to unexpected structural changes. In this paper we apply the Gregory and Hansen cointegration procedure to consider how unexpected structural changes might affect the potential long run diversification benefits of assets held in an Australian property portfolio.     

Behavior of Household Portfolios in France: the Role of Housing

The two-dimensional aspects of dwellings occupied by their owner, consumption and investment, make the analysis of households' portfolio choice and the analysis of housing purchases more difficult. But it seems difficult to analyze portfolio decisions without taking account of owner-occupied housing that has an important effect on wealth composition over the life cycle. In this paper we estimated a portfolio choice model where the different dwellings are defined as assets and we showed that we cannot separate investment decisions from housing consumption. Especially, risky assets demand should be greatly influenced by attitudes toward home property.     

Optimizing tracking error-constrained portfolios

Active portfolios subject to tracking error (TE) constraints are the typical setup for active managers tasked with outperforming a benchmark. The risk and return relationship of such constrained portfolios is described by an ellipse in traditional mean-variance space and the ellipse’s flat shape suggests an additional constraint which improves the performance of the active portfolio. Although subsequent work isolated and explored different portfolios subject to these constraints, absolute portfolio risk has been consistently ignored. A different restriction – maximization of the traditional Sharpe ratio on the constant TE frontier in absolute risk/return space – is added here to the existing constraint set, and a method to generate this portfolio is explained. The resultant portfolio has a lower volatility and higher return than the benchmark, it satisfies the TE constraint and the ratio of excess absolute return to risk is maximized (i.e. maximum Sharpe ratio in absolute space).     

Shifts in Portfolio Preferences of International Investors: An Application to Sovereign Wealth Funds

We develop a dynamic general equilibrium model to analyze the macroeconomic effects of a shift in portfolio preferences of foreign investors. The model has two countries and two asset classes (equities and bonds). It is characterized by imperfect substitutability between assets and allows for endogenous adjustment in interest rates and asset prices. To illustrate the mechanics of the model, we calibrate it to analyze a transfer of reserves from central banks to sovereign wealth funds (SWFs). We look separately at two diversification paths: a shift away from dollar assets (path 1), and a shift away from US bonds to US equities (path 2). In path 1, the dollar depreciates and US net debt falls on impact and increases in the long run. In path 2, the dollar depreciates and US net debt increases in the long run.     

虚拟经济视角下的汇率理论

在经济虚拟化程度很高的现代市场经济中,物质的生产与流通需要价值关系来体现,价值关系是协调整个市场经济系统能否正常运转的关键。汇率涉及两个或多个国家的价值系统的关系,是各国之间对虚拟资产的价格与实体经济实物的价格的比率,在货币与经济虚拟化之后,传统的汇率理论的解释力已显不足,通过对古典贸易理论的国际收支均衡、比较贸易优势理论、蒙代尔-弗莱明模型、资产组合平衡模型和货币分析法模型的简单评述,可看出其在经济虚拟化条件下,国际资本大规模流动造成了传统理论对解释现实的汇率运行及开放经济均衡的局限性。     

PORTFOLIO BEHAVIOUR AND ASSET PRICING IN A CHARACTERISTICS FRAMEWORK

We have applied the characteristics model to the problem of portfolio behaviour and asset pricing. By defining assets in terms of characteristics, we generated individual demands for assets which depended on the prices of assets, the technological relationship between assets and asset characteristics, and the individual's preferences for different characteristics. In general, the characteristics model cannot be readily aggregated across individuals. However, when we assumed that the assets-characteristics technology had a simple form which was common to all individuals, market-clearing conditions could be used to derive an asset pricing model. Finally, we showed that the characteristics model provides a unified approach to the problem of preference-based portfolio behaviour and asset pricing. A number of existing models can be interpreted as characteristics models: the state-preference model, the parameter-preference model, the capital asset pricing model and the inter-temporal capital asset pricing model.     

扁平证券市场线和融资限制——中国股票市场的实证检验

资本资产定价模型（CAPM)在国际金融市场的实证检验结果往往呈现扁平证券市场线现象。一些学者认为融资限制是该现象的产生原因。本文旨在研究扁平证券市场线现象是否存在于中国股市,同时分析融资限制对中国股市证券市场线的影响。本文采用投资组合分析法对A股主板市场进行实证检验。本文研究发现：（1)扁平的证券市场线现象同样存在于中国股票市场中;（2)在中国股票市场中,融资限制与证券市场线的斜率呈负相关,与截距呈正相关,这符合融资限制理论;（3)以上两点发现同样存在于多因子定价模型中,这表明本文研究结果具有稳健性。       

多因素模型下的风险预算分析及其在我国的应用

以风险配置为核心风险预算技术,是一种全新的投资组合管理技术,在国内也还是一个新概念。因此,如何与国内机构投资者的资产管理业务相结合,并指导和应用于投资组合管理过程,是本文要解决的问题。文章结合国内实际从利率因素的研究开始,分析和确定多因子的选择,建立起类别资产配置的多因子模型,探讨资产负债框架下的战略风险预算过程,为机构投资者建立风险管理前移的风险预算模式提供决策参考。     

Multiplicity in general financial equilibrium with portfolio constraints

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints, equilibrium allocation is unique and is Pareto efficient. With one portfolio constraint in place, the efficient equilibrium is still possible; however, additional inefficient equilibria in which the constraint is binding may emerge. We show further that with portfolio constraints cum incomplete markets, there may be a continuum of equilibria; adding incomplete markets may lead to real indeterminacy.     

Net foreign assets,productivity and real exchange rates in constrained economies

Empirical evidence suggests that real exchange rates (RER) behave differently in developed and developing countries. We develop an overlapping generations two-sector exogenous growth model in which RER determination may depend on the country's capacity to borrow from international capital markets. The country faces a constraint on capital inflows. With high domestic savings, the RER only depends on the productivity spread between sectors (Balassa–Samuelson effect). If the constraint is too tight and/or domestic savings too low, the RER depends on both net foreign assets (transfer effect) and productivity. We then analyze the empirical implications of the model and find that, in accordance with the theory, the RER is mainly driven by productivity and net foreign assets in constrained countries and by productivity in unconstrained countries.     

两类混合藤Copula模型的比较研究——基于外汇资产投资组合VaR的研究

本文以中国外汇市场上四种主要外汇资产的投资组合作为研究对象,基于Pair Copula高维建模思想,分别建立了两类能真实反映资产组合相关结构差异性的混合藤Copula模型,即混合C藤和混合D藤Copula模型。两类混合藤Copula模型,对传统的藤Copula模型作了进一步的改进,是通过一定的选择标准,确定模型中每个Pair Copula函数的最优函数族,这样可以使得所建立的模型既能考虑资产组合维数的影响,又能捕捉到组合内部各资产相关结构的差异性。为了得到较优的风险分析模型,在实证研究中,将两类模型在资产组合VaR计算精度方面进行比较。