Journal of Financial & Quantitative Analysis. Volume 53, Issue 1 February 2018

大宗商品给资产配置带来经济价值了么？时变角度的新证据

作者：Xin Gao (Indiana University Kelley School of Business)

Federico Nardari (University of Pittsburgh Katz Graduate School of Business)

摘要：我们构建了一个综合的样本外评估方法，用来考察大宗商品在多资产择时投资策略中的经济价值。我们发现择时能使大宗商品获利，即使有卖空和高杠杆限制。例如，拥有稳健的风险偏好和杠杆的均值方差（或非均值方差）投资者，每季度调整资产配置，每年愿意为配置大宗商品到其持有的股票、债券和现金投资组合中支付高达108（155）个基准点的费用。前人的研究得出的结论是模糊的或者甚至是相反的结论，尤其是在样本外检测的环境中。

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments

Xin Gao (Indiana University Kelley School of Business), Federico Nardari (University of Pittsburgh Katz Graduate School of Business)

ABSTRACT

We conduct a comprehensive out-of-sample assessment of the economic value adding of commodities in multiasset investment strategies that exploit the predictability of asset return moments. We find that predictability makes the inclusion of commodities profitable even when short selling and high leverage are not permitted. For instance, a mean-variance (non-mean-variance) investor with moderate risk aversion and leverage, rebalancing quarterly, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities to her stock, bond, and cash portfolio. Previous research had reached mixed or even opposite conclusions, especially in an out-of-sample context.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/do-commodities-add-economic-value-in-asset-allocation-new-evidence-from-timevarying-moments/48FE51C698DBDA24F66A1D89D5C0A7F4

翻译：汪国颂