学习笔记 - CFA 资产配置 2

本节主要介绍资产配置的3种 approach 的原则：

1. Asset-Only

       inputs to mean–variance optimization are necessarily forward-looking estimates

都带百分号的话，用0.5

       A value of λ = 0 corresponds to a risk-neutral investor because it implies indifference to volatility

       Mean–variance optimization is a “single-period” framework

       efficient frontier 上的大部分组合都无法实现，可以实现的只留下了一个一个点，这些点就被称为 corner portfolio

expression ratio：reflects the probability of exceeding the minimum，given a normal return distribution assumption

应用：

（1）Based only on xxx’s risk-adjusted expected returns for the asset allocations，即求效用U最大的资产配置方案

（2）spending rate of 4%, an expected inflation rate of 2%, and a 40 bp cost，则 average nominal annual return = (1.04)(1.02)(1.004) - 1 = 0.065，不是简单相加

       If human capital is a relatively large component of the individual’s total economic worth, ...... would presumably increase the individual’s capacity to take on risk

       When terminal wealth is path dependent, an analytical approach is not feasible but Monte Carlo simulation is

Any optimization model that uses forward-looking quantities as inputs faces（也是MVO的缺点）：outputs (asset allocations) are highly sensitive to small changes in the inputs

       due to the sensitivity of mean–variance optimization to small changes in inputs, directly altering the expected returns caused relatively extreme and unintuitive changes in the resulting asset allocations

expected returns are generally more difficult to estimate accurately than are volatilities and correlations

这小节也将主要聚焦在return的估计

reverse optimization

       MVO 是要找最优的资产配比 weights，而 reverse optimization 是假设已知最优配比（一般以市场某现存产品为基准）倒算 expected return，即 implied or imputed returns

Black–Litterman model

       The Black–Litterman model starts with excess returns (in excess of the risk-free rate) produced from reverse optimization and then ...... reflect an investor’s own distinctive views yet still behave well in an optimizer

resampled mean–variance optimization (or sometimes “resampling” for short)

       combines Markowitz’s mean–variance optimization framework with Monte Carlo simulation

       the approach lacks a foundation in theory

risk budgeting is really using risk in relation to seeking return

       The goal of risk budgeting is to maximize return per unit of risk

       具体应用：

（1）The marginal contribution to total risk (MCTR)

       identifies the rate at which risk would change with a small (or marginal) change in the current weights

= (Beta of asset class i with respect to portfolio) * (Portfolio return volatility)

（2）The absolute contribution to total risk (ACTR)

       for an asset class measures how much it contributes to portfolio return volatility

（3）Ratio of excess return to MCTR = (Expected return - Risk-free rate) / MCTR

An asset allocation is optimal when the ratio of excess return (over the risk-free rate) to MCTR is the same for all assets

实证发现：asset class和factor class这两种配置，最终的收益不相伯仲

不管哪种，expanding one’s opportunity set to include new, weakly correlated risk factors or asset classes should improve the potential risk–return trade-offs

2. Liability-Related

       quasi-liabilities 准负债，即 not legal liability

liability-relative 的3种主要 approach：

（1）Surplus optimization

       involves applying (MVO) to an efficient frontier based on the volatility of the surplus (“surplus volatility,” or “surplus risk”) as the measure of risk

       is an extension of MVO based on asset volatility

       其实就是将效用公式的 E(R) 和 σ 用 expected surplus return、surplus return volatility 来代替

expected surplus return = (Change in asset value - Change in liability value) / (Initial asset value)

（2）Hedging/return-seeking portfolios approach

       Liability returns measure the time value of money for the liabilities plus any expected changes in the discount rate over the planning horizon

funding ratio = asset value / liability value

       正常当 discount rate 变化，funding ratio 的变化 depends on（因为分子分母都变），但书中认可：high discount rates lead to high funding ratios

寿险本质是应用大数法则，但也有limitation：averages do not eliminate longevity risk

basic two-portfolio approach（即 Hedging/Return-Seeking Portfolio Approach）的 limitation：

       cannot be directly applied under several circumstances

       true hedging portfolio is unavailable 如有些大灾难只能通过买保险承担一部分，一旦发生基本不能全额 hedge 掉，就不存在还有 surplus 来做 return-seeking

例题简要对比了目前两种方法：

       surplus optimization approach links assets and the present value of liabilities through a correlation coefficient（而 two-portfolio model does not require this input）

       Surplus optimization considers the asset allocation problem in one step（就针对surplus部分）; the hedging/return-seeking portfolio approach divides asset allocation into two steps（分开两部分分别做 hedge 和 return-seeking）

       Surplus optimization does not require an overfunded status

asset–liability management (ALM) 和 dynamic financial analysis (DFA) 其实是一回事，不同的称谓而已

（3）Integrated asset–liability approach

       the most comprehensive of the three

       requires a formal method for selecting liabilities and for linking the asset performance with changes in the liability values，可以用 factor-based model

       not require the linear correlation assumption and is capable of modeling transaction costs, turnover constraints, and other real-world constraints

       integrates and jointly optimizes asset and liability decisions

3. Goal-Based

in cases where “human capital” is considered, a multi-goal approach can help investors understand the various trade-offs they face

4. 其他资产配置的 approach

heuristics (rules that provide a reasonable but not necessarily optimal solution)

risk parity 其实是一种寻求最优资产配置方法（不要被名字迷惑）：

       A risk parity asset allocation is based on the notion that each asset (asset class or risk factor) should contribute equally to the total risk of the portfolio for a portfolio to be well diversified

       有点类似上面提到的 risk budgeting 里的：An asset allocation is optimal when the ratio of excess return (over the risk-free rate) to MCTR is the same for all assets

       risk parity 和其他 rules-based risk approaches 都会犯的错：ignores expected returns

The higher the volatility, the narrower the optimal corridor

       理论上：If rebalancing did not involve transaction costs, then higher volatility would lead to a narrower corridor, all else equal

       实际上：the effect of volatility on optimal corridor width involves a trade-off between controlling transaction costs and controlling risk

       不能死板，例题：Given that the market for domestic bonds is relatively illiquid, the increase in volatility suggests widening the rebalancing band

no simple, empirically based advice can be provided