Financial Analyst Journal, Volume 69, Issue1, 2013

如何有效的结合长短期收益率

作者：Sébastien Page (PIMCO)

摘要：投资组合风险分析中一个共同的挑战是某些资产的收益数据往往比其他的更短。遗憾的是，许多标准组合风险分析技术——包括历史尾部风险测算，制度相关的风险分析以及自抽样模拟——需要考虑所有资产或风险因子的完整的历史收益数据。作者对如何有效地组合历史长度不同的投资数据进行了说明并提供了一种新模型以更好地解释非正态分布的样本。

How to Combine Long and Short Return Histories Efficiently

Sébastien Page (PIMCO)

ABSTRACT

A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full return histories for all assets or risk factors. The author presents easy instructions on how to efficiently combine data for investments whose histories differ in length and offers a new model to better account for non-normal distributions.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n1.3

翻译：秦秀婷