多标度投资组合绩效度量非系统误差及校正
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摘要
传统投资组合夏普比率的测度独立于时间标度选择.利用沪深300指数实证发现,投资组合的夏普比率与时间标度存在关联,基于基准标度推导获得的多标度夏普比率存在非系统性误差,导致资产组合绩效度量产生偏差.在此基础上,研究探讨了引致夏普比率非系统误差的原因,提出基于泰勒和二项式展开的夏普比率误差函数用以校正非系统误差,为跨期投资组合绩效的准确度量提供支持.
The calculation of the traditional Sharpe ratio(SR) is generally independent of the chosen timescale.However,the empirical results from CSI 300 index show that there is a close relation between the SR and the timescale.The SRs derived from the benchmark timescale exist the nonsystematic bias, which leads to investor's wrong judgment on the performance of the portfolio over different horizons. Based on the empirical analysis,the paper figures out the possible reasons of the nonsystematic bias, and then proposes the calibration functions of Taylor and Binomial expansion to eliminate the bias of multiscale portfolio.The aim of this work is to provide the accurate evaluation for intertemporal portfolio performance.
The calculation of the traditional Sharpe ratio(SR) is generally independent of the chosen timescale.However,the empirical results from CSI 300 index show that there is a close relation between the SR and the timescale.The SRs derived from the benchmark timescale exist the nonsystematic bias, which leads to investor's wrong judgment on the performance of the portfolio over different horizons. Based on the empirical analysis,the paper figures out the possible reasons of the nonsystematic bias, and then proposes the calibration functions of Taylor and Binomial expansion to eliminate the bias of multiscale portfolio.The aim of this work is to provide the accurate evaluation for intertemporal portfolio performance.
引文
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[14]Gunthorpe D,Levy H.Portfolio composition and the investment horizon[J].Financial Analysts Journal,1994,50(1):51-56.
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[16]Dierkes M,Erner C,Zeisberger S.Investment horizon and attractiveness of investment strategies:A behavioral approach[J].Journal of Banking&Finance,2010,34(5):1032-1046.
[17]Zakamouline V,Koekebakker S.Portfolio performance evaluation with generalized Sharpe ratios:Beyond the mean and variance[J].Journal of Banking&Finance,2009,33(7):1242-1254.
[18]In F,Kim S,Gencay R.Investment horizon effect on asset allocation between value and growth strategies[J].Economic Modeling,2011,28(4):1489-1497.
[19]杨宏林,陈收,左志峰,等.多标度条件下资本市场波动的级串方向和结构[J].管理学报,2009,6(1):91-96.Yang H L,Chen S,Zuo Z F,et al.Cascade direction and structure of multiscale volatilities in capital market[J].Chinese Journal of Management,2009,6(1):91-96.
[2]Siegel J J.Stocks for the long run:The definitive guide to financial market returns and long-term investment strategies[M].New York:McGraw-Hill,1994:3-43.
[3]Kritzman M.What practitioners need to know about time diversification[J].Financial Analysts Journal,1994,50(1):14-18.
[4]Merton R C.Lifetime portfolio selection under uncertainty:The continuous-time case[J].Journal of Economic Theory,1969,51(3):247-257.
[5]Merrill C,Thorley S.Time diversification:Perspectives from option pricing theory[J].Financial Analysts Journal,1996,52(3):13-19.
[6]Thorley S R.The time-diversification controversy[J].Financial Analysts Journal,1995,51(3):68-76.
[7]Hansson B,Persson M.Time diversification and estimation risk[J].Financial Analysts Journal,2000,56(5):55-62.
[8]Guo B B,Darnell M.Time diversification and long-term asset allocation[J].The Journal of Wealth Management,2005,8(3):65-76.
[9]Samuelson P A.The long-term case for equities-and how it can be oversold[J].Journal of Portfolio Management,1994,21(1):15-24.
[10]Bodie Z.On the risks of stocks in the long run[J].Financial Analysts Journal,1995,51(3):18-21.
[11]Arnott R D,Bernstein P L.What risk premium is normal?[J].Financial Analysts Journal,2002,58(2):64-85.
[12]Mandelbrot B B.A multifractal walk down Wall Street[J].Scientific American,1999,280(2):70-73.
[13]Marchesi M.Lux T.Scaling and criticality in a stochastic multi-agent model of a financial market[J].Nature,1999,397(11):498-500.
[14]Gunthorpe D,Levy H.Portfolio composition and the investment horizon[J].Financial Analysts Journal,1994,50(1):51-56.
[15]Hodges C W,Taylor W R L,Yoder J A.Stocks,bonds,the Sharpe ratio,and the investment horizon[J].Financial Analysts Journal,1997,53(6):74-80.
[16]Dierkes M,Erner C,Zeisberger S.Investment horizon and attractiveness of investment strategies:A behavioral approach[J].Journal of Banking&Finance,2010,34(5):1032-1046.
[17]Zakamouline V,Koekebakker S.Portfolio performance evaluation with generalized Sharpe ratios:Beyond the mean and variance[J].Journal of Banking&Finance,2009,33(7):1242-1254.
[18]In F,Kim S,Gencay R.Investment horizon effect on asset allocation between value and growth strategies[J].Economic Modeling,2011,28(4):1489-1497.
[19]杨宏林,陈收,左志峰,等.多标度条件下资本市场波动的级串方向和结构[J].管理学报,2009,6(1):91-96.Yang H L,Chen S,Zuo Z F,et al.Cascade direction and structure of multiscale volatilities in capital market[J].Chinese Journal of Management,2009,6(1):91-96.