Commodities in Dynamic Asset Allocation: Implications of Mean Reverting Commodity Prices
Commodities in Dynamic Asset Allocation: Implications of Mean Reverting Commodity Prices
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动态资产配置中的商品：均值回归商品价格的影响
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
Renxiang Dai
中科院分区：
文献类型：
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作者：
Renxiang Dai
本文研究动态资产配置背景下的商品投资，重点关注商品价格均值回归对商品回报可预测性的影响。金融市场模型由股票、债券和商品三种资产类别组成，概括了 Merton（1969）的基准设置。假设商品市场的风险溢价取决于均值回归的现货商品价格，并且该假设得到了本文的实证研究结果的支持。我以封闭形式求解最优投资组合和消费策略。研究表明，需要对大宗商品进行配置，以优化瞬时风险回报状况（短视目的），以及对冲投资机会集的随机变化（跨期目的）。将商品排除在金融决策之外的福利成本也以封闭形式得到解决。一个简单的数值练习表明，最优金融政策存在大量的市场时机，排除商品资产类别可能会产生巨大的福利成本，特别是对于长期和风险规避程度较低的投资者而言。
This paper studies commodity investment in the context of dynamic asset allocation, with a focus on the implications of the commodity return predictability arising from mean reverting commodity prices. The model of financial markets consists of three asset classes: stocks, bonds, and commodities, which generalizes the benchmark setting of Merton (1969). The risk premium in the commodity market is assumed to be dependent on the mean-reverting spot commodity price, and this assumption is supported by the empirical findings of the paper. I solve, in closed form, the optimal portfolio and consumption strategies. The study suggests that allocation to commodities is needed to optimize the instantaneous risk-return profile (myopic purposes), as well as to hedge the stochastic changes of the investment opportunity set (intertemporal purposes). The welfare cost of excluding the commodity from financial decision making is also solved in closed form. A simple numerical exercise shows that there is substantial market timing in the optimal financial policy, and that excluding the asset class of commodities may incur substantial welfare costs, especially for long-term and less risk-averse investors.