Resolving the Asset Allocation Puzzle with Inter temporal Hedging and Nontraded Assets in the Stochastic Environment

隨機環境下利用跨期避險與不可交易資產求解資產配置的迷思

顏錫銘(Simon H. Yen) ； 徐辜元宏(Yuan-Hung Hsu Ku)

《台灣管理學刊》 2卷2期 (2002/12) Pp. 1-20

https://doi.org/10.6295/TAMJ.2002.0202.01

摘要

Canner, Mankiw and Weil (1997)指出，一般財務顧問公司對於投資者風險態度的差異所提出之投資建議與財務理論間存在著嚴重的不一致性，其將之稱為「資產配置的迷思(An asset allocation puzzle)」。本文乃提出一理性的長期投資者模型，在考量投資者之不可交易資產與隨機投資機會下，提出最適動態資產配置策略，並解決了此資產配置的迷思，與現今之一般財務顧問公司對於投資者之投資建議相一致。

關鍵字

資產配置迷思 ； 隨機投資機會 ； 不完全市場 ； 跨期模型 ； 擾動法

並列摘要

Canner, Mankiw and Weil (1997) point out that the popular financial advisors on portfolio allocation among cash, bonds and stocks appear not to follow the mutual-fund separation theorem and call the inconsistency between separation theorem and popular financial advice ”an asset allocation puzzle.” For solving the asset allocation puzzle, we provide an analysis of the optimal dynamic asset allocation strategy for a long-horizon investor who has nontraded assets under an economic environment with stochastic investment opportunities and incomplete financial markets. We propose another distinguishing hedging component of the dynamic asset allocation for the stock index fund: the human capital hedging component, the hedging demand which characterizes the demand arising from the desire to hedge against changes in the labor income in contrast to Merton (1973). When we incorporate nontraded assets with intertemporal hedging, we can solve the asset allocation puzzle successfully.

並列關鍵字

Asset allocation puzzle ； stochastic opportunities ； incomplete markets ； intertemporal model ； perturbation method

參考文獻

Adler, Michael,Bernard Dumas(1983).International portfolio choice and corporation finance: a synthesis.Journal of Finance.38,925-984.

Bajeux-Besnainou I.,J. Jordan,R. Portait(2001).An asset allocation puzzle: comment.American Economic Review.91,1170-1179.

Balvers, Ronald, Yangru Wu,Erik Gilliland(2000).Mean reversion across national stock markets and parametric contrarian investment strategies.Journal of Finance.55,745-772.

Barberis, Nicholas(2000).Investing for the long run when returns are predictable.Journal of Finance.55,225-264.

Basak, Suleyman(1999).On the fluctuations in consumption and market returns in the presence of labor and human capital: an equilibrium analysis.Journal of Economic Dynamics and Control.23,1029-1064.