Optimal rebalancing strategies for efficient asset pricing factor investments

2008年全球金融危机后，投资者面临着一个具有挑战性的投资环境，其特点是持续的低利率和持续的高或极端市场波动。主权债券收益率下降推高了固定收益负债，并加大了保险公司和养老基金实现担保产品目标回报的难度。为了遵守风险/回报目标，许多投资者将他们的资产配置结构调整为透明和独立的风险因素。在这种低收益环境下，被动指数化产品(以最低的交易成本获取市场风险溢价)以非常低的费用或免费提供(托管除外)。当这类产品跟踪市场时，许多投资者通过将他们的投资组合从中性的资本化权重倾斜到一个选择因素，例如小公司股票，来寻求超额回报。在低利率的情况下，有效地实施此类产品是关键，尤其是帮助养老基金或保险公司等保守投资者不会逊于他们的负债基准。尽管后者将对子孙后代的财务福祉产生可怕的后果，但对于最优再平衡策略的设计以及与交易成本的相互作用模型的研究很少。本研究项目的目的是通过从理论上研究各种要素战略的最优再平衡，并从经验上设计交易成本模型来帮助和指导其实际实施，来填补这一空白。

Following the 2008 global financial crisis investors have faced a challenging investment environmentcharacterized by sustained low interest rates and ongoing periods of high or extreme marketvolatility. Falling sovereign bond yields have driven up defined benefit liabilities and made it harderfor insurers and pension funds to meet target returns on guaranteed products. To remain compliantwith risk/return targets, many investors have structured their asset allocation to transparent andindividual risk factors.In this low-yield environment, passive indexation products (which capture the market risk premiumwith minimal transaction costs) are offered on a very low or no fee basis (other than custody). Whilesuch products track the market, many investors seek excess returns by tilting their portfolio awayfrom the neutral capitalisation weights toward a factor of choice, e.g. small company stocks. Withlow interest rates an efficient implementation of such offerings is key, especially helpingconservative investors like pension funds or insurers to not underperform their liability benchmarks.While the latter would have dire consequences for the financial well-being of future generations,there is little research into the design of optimal rebalancing strategies and the interplay withtransaction costs modelling. This research project is aimed at filling this gap by theoreticallyinvestigating optimal rebalancing of various factor strategies and empirically devising transactioncost models that aid and guide their practical implementation.