Financial Analysts Journal·VOL69,NO. 1· January/February 2013

如何有效結合長短期曆史回報率

作者：Sébastien Page (PIMCO).

摘要：與其他資産相比，某些資産具有更短的曆史回報率是投資組合風險分析的共同挑戰。不幸的是，許多标準的投資組合風險分析技術，包括曆史尾部風險測量、政權依賴風險分析和bootstrapping 模拟，均要求所有資産或風險因素的全額曆史回報率。作者簡要介紹了如何有效結合曆史時長不同的投資數據，并提供一種更好考慮非正态分布的新模型。

How to Combine Long and Short Return Histories Efficiently

Sébastien Page (PIMCO).

ABSTRACT

A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full return histories for all assets or risk factors. The author presents easy instructions on how to efficiently combine data for investments whose histories differ in length and offers a new model to better account for non-normal distributions.

原文鍊接：http://www.cfapubs.orgdoipdf10.2469faj.v69.n1.3

翻譯：王冰倫