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翊巩田
5 years ago
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5 VaR 5

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9 9 / / eta / VaR ( ) A C A C

10 2.3 advso TE Alpha IR TE Alpha IR

11 TE Alpha IR RAROC RAROC Shap Shap R ( 1+η ( VaR, α)) R A A old Makowtz Makowtz Makowtz 11

12 n n t s t V EER EU 1 1 1( 0 ( 1.. / max ω ω ω 1 V EER t [11] t X V X EER X EU MEU / ) / ( / / δ δ δ δ δ δ 2

13 δeer δv / δx / δx EER MR 3 MEU EER MR t 4 / MEU k k EER 0 V MR 0 MEU 0 k 0 MEU EER EER MR / t 0 MR / t X MR X t * EER 1 MR δv δx p N 1 X cov( EER, EER ) V p 5 sk budgetng R R 0.5* X * MR

14 EER SDER t MR / EER A 0 L 0, A 1 L 1 S 0A 0-L 0 14

15 S 1A 1-L 1 S 1/A 0 S 1/A 0 A 1/A 0 -(L 0/A 0)*(L 1/L 0) 7 A 1/A 0 1 L 1/L 0 1 (L 0/A 0) ds 1/A 0 S 1/A 0 1-d +R A-d*R L 8 1-d R A-d*R L R A-d*R t EU E( R ) E( d * R ) V ( R d * R ) t 9 A L A L / EU 2 E( R ) E( d * R ) V ( R ) / t + 2 * d * COV / t d * V t 10 A L A AL L / EU E( R ) V ( R ) / t + 2 * d * COV t 11 A A AL / MEU EER MR / t + 2* d * COV t 12 L / COV L I MEU EER MR / t + 2 * d * COV / t k 13 L 0 EER MR / t + 2* d * COV / t 0 L EER MR / t 2* d * COV / t ( MR 2* d * COV ) t (14) L L / MR 2 * COV 15

16 EER 2 / t) *( COV d * COV ) (15) ( L R R X * ( COV d * COV )]/[ V d * COV ] (16) [ L L X '*( COV ' d'* COV ')]/[ V ' d'* COV '] (17) [ L L / ? 16

17 17 V EER t t t ) ( ) 1 ( EER + ω ω ω (18) ) ( * f f + + β α (19) 1 2 n f n n s t t V EER EU 1 1 1( 0( 1.. / max ω ω ω + V ν ν γ ω ω ω ω ω ω (20) ) va( ), cov( ), cov( ), [cov( ), cov(

18 ν γ δv δω n 1 ω γ ν ν V (21) 4-1 6% 4-2 advso beta alpha

19 S & R EAFE + 0.2LA + 0.1HY + cash ω + (1 ω ) ω ω 15 (1 1 ω ) / 5. 19

20 4-1 S& Russel MSCI EAFE MSCI EMF Lehman Aggegate ML Hgh Yeld WGIxUS eta alpha TE 1 S& S& S& Russel Russel MSCI EAFE MSCI EAFE MSCI EMF Lehman Aggegate Lehman Aggegate Lehman Aggegate ML Hgh Yeld ML Hgh Yeld alpha TE 4-3 S& Russel MSCI EAFE MSCI EMF Lehman ML Hgh Aggegate Yeld WGIxUS S& Russel MSCI EAFE MSCI EMF Lehman Aggegate ML Hgh Yeld WGIxUS

21 4-4 S& Russel MSCI EAFE MSCI EMF Lehman Aggegate ML Hgh Yeld WGIxUS S& Russel MSCI EAFE MSCI EMF Lehman Aggegate ML Hgh Yeld WGIxUS σ / w

22 4-7 S& Russel MSCI EAFE 7.78 MSCI EMF Lehman Aggegate ML Hgh Yeld WGIxUS σ / w 4-8 /

23 4-9 1 S&500 2 S&500 3 S&500 4 Russel Russel MSCI EAFE 7 MSCI EAFE / MSCI EMF Lehman Aggegate Lehman Aggegate Lehman Aggegate ML Hgh Yeld ML Hgh Yeld Cash Cash Shap, Wllam F., and Lawence G. Tnt, Lablty: A New Appoach. the Jounal of otfolo Management,Wnte Soensen, Ec H., Keth L. Mlle, and Vele Samak, The Optmal Allocaton to Actve Management. Salomon Smth aney,febuay Chow, Geoge, and Mak Ktzman, Rsk udgets. The Jounal of otfolo Management, Fall 1999, Wa Lee and Danel Y. Lam, Implementng Optmal Rsk udgetng. The Jounal of otfolo Management, Fall 2001, Lee Wa, Theoy and Methodology of Tactcal Asset Allocaton New Hope,A: Fank J. Fabozz Assocates, Nel.D. eason Rsk budgetng - potfolo poblem solvng wth VaR / New Yok : Wley,,

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