Computing implied returns in a meaningful way
Computing implied returns in a meaningful way
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DOI：
10.1057/palgrave.jam.2240165
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发表时间：
2005-06-01
影响因子：
2.5
通讯作者：
Herold, Ulf
中科院分区：
文献类型：
--
作者：
Herold, Ulf
在投资实践中，均值-方差优化器对预期收益的变化高度敏感这一事实是众所周知的。因此，一种常见的方法是扭转问题：不是从一组预期收益开始，然后求解最优权重，而是从给定的投资组合结构中提取隐含收益。通过将隐含收益与投资者可能拥有的预期收益进行比较，可以迭代地改变投资组合的权重。困难在于，没有一套独特的隐含回报。本文认为，确定隐含收益的一般程序往往会导致不合理的价值，并提出了一种修正方法，以产生合理和更现实的隐含收益。
The fact that mean-variance optimisers are highly sensitive to changes in expected returns is well known in investment practice. A common approach is therefore to turn the problem around: instead of starting with a set of expected returns and solving for optimal weights, implied returns are extracted from a given portfolio structure. By comparing the implied returns with the expected returns that an investor might have, the portfolio weights can be changed in an iterative way. The difficulty is that there is no unique set of implied returns. This paper shows that the common procedure of determining the implied returns will often lead to unreasonable values, and it provides a modification that results in sensible and more realistic implied returns.