Journal of Financial & Quantitative Analysis. Sep2017, Vol. 52 Issue 5, p2277-2303. 27p.

资产配置中的长期或有事项与短期或有事项

作者：Mahmoud Botshekan (Faculty of Administrative Sciences and Economics, University of Isfahan)

André Lucas (School of Business and Economics, Vrije Universiteit Amsterdam)

摘要：我们探讨了在资产定价研究中的长期和短期的典型的条件变量（如股息率、收益率差价），是否对最优资产配置具有不同的影响。我们论证了短期构成要素与动量最相关，长期构成要素与均值回归效应最相关。因此，它们可能在不同的角度给投资者提供了不同的信息。并且我们样本外预测的夏普比率，以及直接反应股票市场相关信息的分解状态变量（如股息率、股票市场趋势）对应的期望效用都得到了改进。

Long-Term versus Short-Term Contingencies in Asset Allocation.

Mahmoud Botshekan (Faculty of Administrative Sciences and Economics, University of Isfahan)

André Lucas (School of Business and Economics, Vrije Universiteit Amsterdam)

ABSTRACT

We investigate whether long-term and short-term components of typical conditioning variables in asset pricing studies, such as the dividend yield or yield spread, have different implications for optimal asset allocation. We argue that short-term components relate mostly to momentum, and long-term components relate mostly to mean-reversion effects, respectively. Therefore, they may have a different information content for investors with different horizons. We obtain improvements in terms of out-of-sample Sharpe ratios and expected utilities for decomposed state variables that directly reflect information related to the stock market, such as the dividend yield and stock market trend.

翻译：汪国颂