Financial Analysts Journal· VOL72,NO.2· March/April 2016.

约束对最小方差组合的影响

作者：Tzee-Man Chow(vice president of product research at Research Affiliates, LLC), Engin Kose(vice president of equity research at Research Affiliates, LLC), Feifei Li(partner and head of investment management at Research Affiliates, LLC)

摘要：最优的最小方差策略倾向于选择低流动性、高换手率、高跟踪误差以及集中的股票、部门和国家定位。最小方差指数提供者通常靠加强约束来缓和这些实现问题。作者为美国、全球发达市场和新兴市场构建最小方差组合，并应用常用约束来确定它们对模拟组合特征、绩效和交易成本的影响。他们测试的约束能够提高投资能力，但是却将投资组合特征转移为资本加权基准。特别地，每个附加约束增加了波动性。尽管如此，最小方差策略是风险厌恶投资者的有效选择。

The Impact of Constraints on Minimum-Variance Portfolios

Tzee-Man Chow(vice president of product research at Research Affiliates, LLC), Engin Kose(vice president of equity research at Research Affiliates, LLC), Feifei Li(partner and head of investment management at 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： http://dx.doi.org/10.2469/faj.v72.n2.5

翻译：赵胜旺