Financial Analyst Journal, Volume 72, Issue 2, 2016

约束对最小方差投资组合的影响

作者：Tzee-Man Chow (Research Affiliates, LLC),

Engin Kose (Research Affiliates, LLC),

Feifei Li (Research Affiliates, LLC)

摘要：优化的最小方差策略往往具有低流动性、高周转率、高追踪误差和较为集中的股票、部门和国家头寸。最小方差指数的提供者通常通过施加约束来减轻这些问题。文章构建了美国、全球发达市场和新兴市场的最小方差投资组合，并利用常见的约束，以确定它们对模拟投资组合特征、业绩和交易成本的影响。研究测试的约束条件在提高可投资性方面取得成功，但将投资组合特征转向了资本化加权基准。特别是，每个附加约束都会增加波动性。尽管如此，最小方差策略对风险厌恶的投资者来说依然是一个有效的选择。

The Impact of Constraints on Minimum-Variance Portfolios

Tzee-Man Chow (Research Affiliates, LLC), Engin Kose (Research Affiliates, LLC), Feifei Li (Research Affiliates, LLC)

ABSTRACT

Optimized minimum-variance strategies tend to have low liquidity; high turnover; high tracking error; and concentrated stock, sector, and country positions. Minimum-variance index providers typically mitigate these implementation problems by imposing constraints. The authors construct minimum-variance portfolios for the United States, global developed markets, and emerging markets and apply commonly used constraints to determine their effect on simulated portfolio characteristics, performance, and trading costs. The constraints they test succeed in improving investability but shift portfolio characteristics toward those of the capitalization-weighted benchmark. In particular, each additional constraint increases volatility. Nonetheless, minimum-variance strategies are a valid choice for risk-averse investors.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v72.n2.5

翻译：秦秀婷