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Biases in variance of decomposed portfolio returns
International Review of Finance ( IF 2.175 ) Pub Date : 2020-07-15 , DOI: 10.1111/irfi.12319
Vitali Alexeev 1 , Katja Ignatieva 2
Affiliation  

Significant portfolio variance biases arise when contrasting multiperiod portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P 500 constituents from 2003 to 2011 demonstrates that, compared with a buy-and-hold assumption, applying fixed weights led to decreased estimates of portfolio volatilities during 2003, 2005 and 2010, but caused a significant increase in volatility estimates in the more turbulent 2008 and 2011. This discrepancy distorts assessments of portfolio risk-adjusted performance when inappropriate weight assumptions are employed. Consequently, these variance biases have effect on statistical inference in factor models and may result in erroneous portfolio size recommendations for adequate diversification.

中文翻译:

分解投资组合收益的方差偏差

当基于固定的持续再平衡投资组合权重而不是买入并持有权重的假设来对比多期投资组合回报时,会出现显着的投资组合方差偏差。2003 年至 2011 年使用标准普尔 500 指数成分股获得的经验证据表明,与买入并持有假设相比,应用固定权重导致 2003 年、2005 年和 2010 年投资组合波动率估计值下降,但导致波动率估计值显着增加2008 年和 2011 年更加动荡。当采用不适当的权重假设时,这种差异会扭曲对投资组合风险调整后业绩的评估。因此,这些方差偏差会影响因子模型中的统计推断,并可能导致错误的投资组合规模建议以充分多样化。
更新日期:2020-07-15
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