量化研究报告
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正文目录
1. 引言 ......................................................................................................................................... 4
2. BGSS 框架介绍 .......................................................................................................................... 5
2.1. 效用函数的选择 ............................................................................................................................................................ 7
2.2. 价值函数的展开 ............................................................................................................................................................ 8
2.3. 路径模拟 ...................................................................................................................................................................... 10
2.4. 通过估计最终财富的倒向递归 .................................................................................................................................. 10
2.5. 回归方法下的期望计算 .............................................................................................................................................. 11
2.6. 四阶泰勒展开 .............................................................................................................................................................. 14
2.7. 资产权重限制 .............................................................................................................................................................. 16
3. BGSS 模型实证 ........................................................................................................................ 16
3.1. 选取状态变量及代表资产 .......................................................................................................................................... 16
3.2. 采用跨路径回归方法求解条件期望值 ...................................................................................................................... 17
3.3. 求解资产配置比例 ...................................................................................................................................................... 20
4. BGSS 方法下的大类资产配置回测结果 .................................................................................... 21
4.1. 距离目标日期较远的组合构建及回测展示 .............................................................................................................. 21
4.2. 距离目标日期较近的组合构建及回测展示 .............................................................................................................. 23
4.3. 未来一年组合构建 ...................................................................................................................................................... 25
5. 总结及展望 ............................................................................................................................. 2 7
5.1. 改良后的 BGSS 方法 ................................................................................................................................................... 27
5.2. 研究展望 ...................................................................................................................................................................... 27
附录：
参考文献
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Dynamic Asset Allocation —— A Simulation Approach with an Application to Multiple Assets
Abstract
We presented and extended a methodology published by Brandt, Goyal, Santa-Clara and Stroud to find an optimal, dynamic portfolio
strategy in a more realistic investor’s environment with multiple assets with non-standard return dynamics, constraints on his portfolio
weights and with different risk averseness. It is a simulation-based method with as main features a Taylor-expansion, backward
recursion and robust regression analysis to predict returns. The method is flexible, accurate and practical.
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