The Journal of Portfolio Management Spring 2018, 44 (5) 21-35;

模拟投资组合

作者：Richard Roll （California Institute of Technology）, Akshay Srivastava（California Institute of Technology）

摘要：模拟投资组合在金融实践中有许多应用。本文介绍了一种构建它们的新方法。作者通过创建模拟单个纽约证券交易所股票的投资组合来说明其应用。在创建日，一个模拟投资组合与其相对于一组交易所交易基金的目标股票风险敞口(betas)完全匹配，这些基金充当全球因素的代理变量。投资组合的特质波动要低于其目标，模拟投资组合只需要适度的后续再平衡，以应对用于构建投资组合的目标资产和资产的不稳定性。尽管此处模拟投资组合完全由股票组成，但它也显示出模拟非股权资产的潜力。

Mimicking Portfolios

Richard Roll （California Institute of Technology）, Akshay Srivastava（California Institute of Technology）

ABSTRACT

Mimicking portfolios have many applications in the practice of finance. A new method for constructing them is presented in this article. The authors illustrate its application by creating portfolios that mimic individual NYSE stocks. On the construction date, a mimicking portfolio exactly matches its target stock’s exposures (betas) to a set of exchange-traded funds, which serve as proxies for global factors. The portfolio has much lower idiosyncratic volatility than its target, and mimicking portfolios require only modest subsequent rebalancing in response to instabilities in target assets and assets used for portfolio construction. Although here composed exclusively of equities, mimicking portfolios show potential for mimicking non-equity assets as well.

原文链接：

http://jpm.iijournals.com/content/44/5/21

翻译：黄涛