Financial Analysts Journal·VOL69,NO. 1· January/February 2013

如何有效结合长短期历史回报率

作者：Sébastien Page (PIMCO).

摘要：与其他资产相比，某些资产具有更短的历史回报率是投资组合风险分析的共同挑战。不幸的是，许多标准的投资组合风险分析技术，包括历史尾部风险测量、政权依赖风险分析和bootstrapping 模拟，均要求所有资产或风险因素的全额历史回报率。作者简要介绍了如何有效结合历史时长不同的投资数据，并提供一种更好考虑非正态分布的新模型。

How to Combine Long and Short Return Histories Efficiently

Sébastien Page (PIMCO).

ABSTRACT

A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full return histories for all assets or risk factors. The author presents easy instructions on how to efficiently combine data for investments whose histories differ in length and offers a new model to better account for non-normal distributions.

原文链接：http://www.cfapubs.orgdoipdf10.2469faj.v69.n1.3

翻译：王冰伦