长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

摘要/Abstract

摘要： 本文研究了资产收益可预测性影响长期投资者最优资产组合选择的理论问题,并结合中国证券市场历史数据做了相应的实证研究。研究结论表明:在长期投资期限下中国股票市场收益具有可预测性,长期投资者资产组合可以比短期投资者配置更高权重的风险资产。由此本文提出,可相应提高我国社保基金、企业年金和保险公司等长期投资者战略资产配置中股票类风险资产的投资比例上限。

关键词: 战略资产配置, 长期投资者, 收益可预测性, 股票投资比例

Abstract: In this paper, thorough research is conducted both theoretically and empirically on predictability in asset returns affecting optimal portfolio choice for investors with long horizons. Based on China stock market data, it is found that: the returns of China stock market have predictability in long horizon, and differ from the classical theory, the long-term investors should allocate more risk assets than the short-term investors. It is suggested that in China, the long-term investors such as social security funds, occupational pensions and insurance companies, could increase their allocation shares for stocks.

Key words: strategic asset allocation, return predictability, investment horizon

中图分类号:

F830

杨朝军, 陈浩武, 杨玮沁. 长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证 [J]. 中国管理科学, 2012, (3): 63-69.

YANG Chao-jun, CHEN Hao-wu, YANG Wei-qin. Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market[J]. Chinese Journal of Management Science, 2012, (3): 63-69.

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