Integrated Asset Allocation
Integrated Asset Allocation
复制标题
综合资产配置
DOI：
10.2469/faj.v43.n5.25
复制
发表时间：
1987
影响因子：
2.8
通讯作者：
W. Sharpe
中科院分区：
文献类型：
--
作者：
W. Sharpe
综合资产配置提供了一个框架，用于查看重要资产配置决策的关键要素。它的总体视角涵盖了当前使用的更传统的资产配置程序，包括战略、战术和保险方法。综合资产配置是指投资者S净资产的最优配置。因此，它处理的是预期净值(资产减去负债)和未来净值的标准差，因为投资者愿意承担额外的净值风险以增加预期净值。资产配置程序涉及几个主要步骤。投资者的当前净资产通过风险容忍度函数转化为投资者的风险容忍度。与此同时，当前的资本市场状况--价格、收益、股息--被(通过启发式或复杂的过程)转化为各种资产类别的预期回报、风险和相关性。考虑到这些预测和投资者的风险承受能力，“优化器”(从简单的经验法则到全面的二次规划的复杂性)决定了最合适的资产组合。这一组合决定了投资者在这段时间内的实际回报。这些回报通过投资者净值和资本市场状况反馈到下一阶段的配置程序中。
Integrated asset allocation provides a framework for viewing the key elements of the important asset allocation decision. Its general perspective subsumes more traditional asset allocation procedures in current use, including strategic, tactical and insurance approaches. Integrated asset allocation is concerned with the optimization of an investor 's net wvorth. It thus deals with expected net worth (assets less liabilities) and standard deviation offuture net worth, given the investor's willingness to take on added net worth risk in order to increase expected net worth. The asset allocation procedure involves several major steps. The investor's current net worth is transformed, via a risk tolerance function, into the investor's risk tolerance. At the same time, current capital market conditions-prices, earnings, dividends-are transformed (via a heuristic or complex process) into expected returns, risks and correlations for various asset classes. Given these predictions and the investor's risk tolerance, an "optimizer" (ranging in complexity from a simple rule of thumb to a full-scale quadratic program) determines the most appropriate asset mix. The mix determines actual returns to the investor over the period. These returns feed back, via investor net worth and capital market conditions, into the next period's allocation procedure.