Designing macro factors for portfolio choice

最近的资产定价文献试图从价值和动量等风格因素的角度来解释许多资产类别的横截面，从而产生了基于因子投资的新投资范式。从自上而下的角度来看，投资者最关心的应该是增长或通胀等宏观因素的冲击，这些因素最终主导着广义资产类别的定价。然而，很少有研究对这些宏观因素进行建模和管理，以使投资者的投资组合选择最终导致可行的投资组合配置。本研究旨在针对这一目标深入研究宏观经济因素的建模问题，并有效地指导投资组合配置的设计，以满足不同投资者的需求。因此，我们将进一步加深学术界对基本经济机制的理解，并为投资管理行业提供有效利用和收获宏观因素溢价的指南。

The recent asset pricing literature seeks to explain the cross-section of many asset classes in termsof style factors such as value and momentum, leading to the new investment paradigm of factorbasedinvesting. From a top down perspective, investors should be most concerned about shocksin macro factors such as growth or inflation that ultimately govern the pricing of broad asset classes.Yet, there has been little research into modeling and managing such macro factors in a way thatinvestors' portfolio choice ultimately results in feasible portfolio allocations. This research projectaims to thoroughly address modeling macroeconomic factors against this objective and toultimately guide the design of portfolio allocations that can to serve various investors needs.As such we will further the academic profession's understanding of the underlying economicmechanism and provide the investment management industry with guideposts to efficientlynavigate and harvest macro factor premia.