积极风险预算和管理者组合投资决策研究

将积极风险预算分解为总量预算和结构预算,建立风险预算框架下的组合投资决策模型,分别在基准组合是有效组合和非有效组合的情况下对模型求解,并详细分析了两种情况下最优投资决策的性质.结果表明:风险预算框架下投资决策的有效性将完全取决于基准组合的有效性;基准组合为非有效组合的情况下,结构预算决定了投资决策的结构,而总量预算决定了投资决策偏离基准组合的程度;由于结构预算中较小的β对基准风险形成了有效的对冲,因而在总风险一致的情况下,有助于提高总期望收益.

Active Risk Budgeting and the Study on Manager's Portfolio Choice

This paper builds portfolio decision model under risk budgeting framework by decomposing active risk budgeting into gross budgeting and structural budgeting,and solving the model when the benchmark is efficient and non-efficient,respectively,then analyzing the property,in detail,of optimal investment decision under the two different conditions.The results show that: the efficiency of portfolio decision lies on the efficiency of benchmark completely;when benchmark is not efficient,structural budgeting determine the structure of portfolio,while gross budgeting determine the degree which optimal portfolio deviate from benchmark;small beta in structural budgeting actually hedge the benchmark risk effectively,so it conduces to improve the total return under the same total risk.