Financial Analyst Journal, Volume 71, Issue3, 2015

投资组合并非孤岛

作者：David M. Blanchett (Morningstar Investment Management)

Philip U. Straehl (Morningstar Investment Management)

摘要：作者将非金融资产——特定行业的人力资本以及特定地区的住房财富和养老金——纳入传统的投资组合优化当中，并发现最佳投资组合对于不同的总财富组合具有显著差异。特别是，他们发现，最佳的股权分配随着年龄的增长，就业风险的提高和房屋风险的提高而下降，但是随着有保障的养老金收入的增加而增加。这些结果表明，每个投资组合都需要考虑投资者的总财富。

No Portfolio Is an Island

David M. Blanchett (Morningstar Investment Management), Philip U. Straehl (Morningstar Investment Management)

ABSTRACT

The authors incorporated nonfinancial assets—industry-specific human capital, region-specific housing wealth, and pensions—into a traditional portfolio optimization and found that the optimal portfolio varies materially for different compositions of total wealth. In particular, they found that the optimal equity allocation decreases with age, riskier employment, and riskier homeownership, whereas it increases with guaranteed pension income. These results suggest that every portfolio needs to be considered in the context of an investor’s total wealth.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v71.n3.5

翻译：秦秀婷