Owner-Occupied Housing and the Composition of the Household Portfolio: The Case of France

This paper investigates the impact of housing demand on the composition of the optimal portfolios of homeowners in France, following the methodology developed by Flavin and Yamashita (NBER Working Paper 6389, 2002). We use historical data on housing prices and financial assets returns to estimate the mean return and covariance matrix of a set of assets including housing. We then calculate mean-variance efficient frontiers associated to various levels of the housing-to-net wealth ratio, corresponding to the average ratios observed for different age groups in the 1998 French Wealth Survey sample. Our numerical results fit the average portfolios in different age brackets quite well. Also, returns of housing and its covariance with the other assets indicate there is room in France for housing price derivatives.     

REITs风险收益特征及其资产配置作用

REITs具有“长期收益率高于股票、波动性低于股票”的风险／收益特征，更为重要的是REITs与股票、债券的相关系数低。机构投资者的传统组合中通常只包括债券、股票类证券，加AREITs可使组合优化，即组合有效边界向左上方移动，意味着在相同风险水平下，增加REITs后的组合可获得更高收益，或是为取得相同收益水平，增加REITs后的组合只承担更低风险。     

On statistical inference on the mean-variance efficient set

A proof of the asymptotic distribution of the estimated mean-variance frontier is given. A Bayesian prediction interval is derived for the capital asset pricing model. Numerical illustrations show that the prediction intervals for the CAPM are smaller than those for the constant mean model, if the fit of the CAPM is better than that of the constant mean model.     

Determinants of Real Estate Asset Allocations in Private and Public Pension Plans

Numerous studies have examined the factors associated with allocation of corporate and government pension-plan assets. Yet to date there has been no attempt to identify the sponsor-related conditions that affect the percentage of U.S. private and public pension-fund assets invested in real estate. The purpose of this article is to examine various asset-and liability-matching hypotheses regarding pension-plan asset allocations. Models are specified for both corporate and government defined-benefit plans that relate the characteristics of each plan to the percentage allocated to real estate investments. Our results confirm the existence of a significant size effect for both corporate and government pension plans, although we find mean levels of real estate allocation to be much lower than those suggested in previous real estate allocation studies. The article, however, contains some anomalous findings. In particular, our findings suggest that pension-plan sponsors do not hedge their real estate risk. We also find that pension-plan sponsors do not invest in real estate, as theory might suggest, to minimize the noise level in their pension liabilities.     

Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model

This paper applies portfolio change and conditional performance measures to assess the performance of the dynamic investment model in various industry-rotation settings spanning the 1934–1995 period. The dynamic investment model employs the empirical probability assessment approach in raw form. In addition, it incorporates three adjustments for estimation error: James–Stein, Bayes–Stein, and CAPM-based corrections. The tests are unanimous in their conclusion that the excess returns attained by the (unadjusted) historic, the Bayes–Stein, and the James–Stein estimators are (sometimes highly) statistically significant over the 1966–1995 and 1966–1981 sub-periods. This lends support to the idea that the joint empirical probability assessment approach based on the recent past, with and without Stein-based corrections for estimation error, contains information that can be profitably exploited. The relationship of these findings to the extant literature on momentum and contrarian strategies is addressed.     

Stochastic Interest Rates and the Bond-Stock Mix

The optimal bond-stock mix is examined in light of an apparentinconsistency between the Tobin Separation Theorem and the adviceof popular investment advisors which has been pointed out byCanner et al. (1997).It is shown that the apparent inconsistencyis largely explicable in terms of the hedging demands of optimisinglong-term investors in an environment in which the investmentopportunity set is subject to stochastic shocks. The analysispoints to the importance of considering investors' time horizonsin analyzing optimal portfolio policies.     

Stochastic Interest Rates and the Bond-Stock Mix

The optimal bond-stock mix is examined in light of an apparent inconsistency between the Tobin Separation Theorem and the advice of popular investment advisors which has beenpointed out by Canner et al. (1997). It is shown that the apparent inconsistency is largely explicable in terms of the hedging demands of optimising long-term investors in an environment in which the investment opportunity set is subject to stochastic shocks. The analysis points to the importance of considering investors' time horizons in analyzing optimal portfolio policies.     

Realised higher moments: theory and practice

This paper examines the incorporation of higher moments in portfolio selection problems utilising high-frequency data. Our approach combines innovations from the realised volatility literature with a portfolio selection methodology utilising higher moments. We provide an empirical study of the measurement of higher moments from tick by tick data and implement the model for a selection of stocks from the DOW 30 over the time period 2005–2011. We demonstrate a novel estimator for moments and co-moments in the presence of microstructure noise.     

Home bias and Dutch pension funds’ investment behavior

Using a panel data set of more than 600 Dutch pension funds (PFs) between 1992 and 2006, we investigate asset allocation behavior of Dutch PFs across multiple asset classes. We find that domestic investments, also known as home bias, in portfolio choices of Dutch institutional investors have fallen. We also find that the introduction of the euro, the dot-com crisis (1999–2001) and individual PF's characteristics are significant determinants of home bias. Overall, mature PFs’ portfolios are diversified internationally, whereas large PFs seem to prefer to only scale up their foreign, less-risky positions at the expense of domestic fixed-income positions. The effect of the dot-com crisis is more pronounced for domestic bonds, whereas the introduction of the euro was more important for domestic equities.     

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

In this paper, we study the influence of skewness on the distributional properties of the estimated weights of optimal portfolios and on the corresponding inference procedures derived for the optimal portfolio weights assuming that the asset returns are normally distributed. It is shown that even a simple form of skewness in the asset returns can dramatically influence the performance of the test on the structure of the global minimum variance portfolio. The results obtained can be applied in the small sample case as well. Moreover, we introduce an estimation procedure for the parameters of the skew-normal distribution that is based on the modified method of moments. A goodness-of-fit test for the matrix variate closed skew-normal distribution has also been derived. In the empirical study, we apply our results to real data of several stocks included in the Dow Jones index.     

My global fund portfolio is not yours: the effect of home bias on European- and US-managed convertible bond fund exposures

This paper shows that global convertible bond funds (CBFs) and their resulting equity-bond exposures are regionally biased. Global bond fund managers display home bias, resulting in CBFs that are not only tilted towards the home market but also reflect the different bond-equity exposures of European and US convertibles. More specifically we find that global funds managed by a European asset management firm are more bond-like than global funds managed by a US-based asset manager. Hence, investors have to account for the asset management company's origin to avoid that the performance of the fund and its correlation with other assets is not in line with investor's ex ante expectations about globally managed portfolios. Our results also indicate that for investors of European-based CBFs this home bias has resulted in an ex post opportunity cost up to 1.38% per year, depending on the sample period.     

The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty

Much of the empirical work on hedging exchange rate exposure in portfolios of financial assets has used a unitary hedge ratio, or a currency overlay. Alternatively, the currencies themselves can be treated as assets and the position in them optimized. This study empirically tests whether the ex post results of recent studies, which conclude that currencies should themselves be optimized, stand up under parameter uncertainty. It may very well be that ex ante, when parameter inputs must be estimated from historical data, the attempt to determine the optimal currency weights results in inferior performance in comparison to using a simple unitary hedging strategy, or even unhedged international investment. The results suggest that a local currency return unitary hedging strategy works best in the presence of parameter uncertainty.     

年金投资管理:评价、问题与建议

年金作为职业养老金,其投资管理直接关系到参与者的退休收入水平.本研究超越传统的定性判断,采用定量方法评价了国内年金投资管理的绩效.通过将年金投资收益率拆分为资产配置收益率和主动管理增值收益率两部分,证实了资产配置优化可以提升年金投资收益,年金行业的主动投资管理并未产生超额收益,大型年金计划的超额收益并不显著.基于这种评...     

Investing for the Long-run in European Real Estate

We calculate optimal portfolio choices for a long-horizon, risk-averse investor who diversifies among European stocks, bonds, real estate, and cash, when excess asset returns are predictable. Simulations are performed for scenarios involving different risk aversion levels, horizons, and statistical models capturing predictability in risk premia. Importantly, under one of the scenarios, the investor takes into account the parameter uncertainty implied by the use of estimated coefficients to characterize predictability. We find that real estate ought to play a significant role in optimal portfolio choices, with weights between 12 and 44%. Under plausible assumptions, the welfare costs of either ignoring predictability or restricting portfolio choices to traditional financial assets only are found to be in the order of 150–300 basis points per year. These results are robust to changes in the benchmarks and in the statistical framework.