Theory And Application Research On Assets Allocation For The Long Investor

With the rapid development and standardization of Chinese securities market, the steadily escalating effect of Institution investor, and the need of perfecting the structure of securities market, how to efficiently manage the portfolio becomes a problem that must be settled by us. Consequently the systemic study on portfolio choice has become an important domestic issue.The theory of portfolio choice is an important part of modern theory of finance, and has been a focus of controversy in academia since Markowitz proposed the famous Mean-Variance model in 1952. Offering the useful and scientific investment advices is the central motive of modern theory of finance, which had already been achieved for the short-term investors. But for mostly investors they have the long horizons, and the evidence of time-variation in expected returns is among the more intriguing empirical findings in finance. In recent years, the research on portfolio choice again becomes a hot research topic in the financial research field.Based on the need of both the academic research and the realistic meaning, this paper conducts a thorough research both theoretically and empirically on the optimal portfolios for the long-term investors under different invest opportunities. In the course of researching this problem, we play emphases on the optimal portfolios of single-periods or multi-periods for the long-term investors under constant and time-vary invest opportunities in turn, and pay attention to the factors, such as the horizon and time-vary investment opportunity, take what effects for the investors'optimal portfolio. This way can help us shapely lucubrate and analysis the long-term investors do the optimal asset allocation decision-making. Finally presents some reasonable and applicable advices. Chapter 2 reviews the relevant literatures. Chapter 3 provides the basis of study on asset allocation decision-making. Then the study divides into two different parts: single-period and multi-period portfolio choice respectively, and in each research frame considers constant and time-vary investment opportunity in turn. The research on single-period portfolio choice includes Chapter 4 to Chapter 6; the multi-period portfolio choice's study includes Chapter 7 to Chapter 9. Chapter 4 studies the single-period portfolio choice under constant investment opportunity, Chapter 5 studies the single-period portfolio choice under time-vary investment opportunity, Chapter 6 empirical research; Chapter 7 analysis the commonly framework for the study of multi-period portfolio choice, Chapter 8 studies the multi-period portfolio choice under constant investment opportunity, Chapter 9 studies the multi-period portfolio choice under time-vary investment opportunity. Finally chapter 10 concludes the paper and suggests further research.The main content and conclusion of this paper are as follows:1. Sums up several of major models and analysis methods of the modern portfolio choice theory which are predicted by the mean-variance model.2. Presents a universal framework of asset allocation decision-making, and exactly defines some key concepts of asset allocation. Proposes the rule of active asset allocation: after constructing the optimal long-run portfolio, which is based on the long-term investment objective, investor will optimally rebalances the portfolio over his investment horizon to increase short-term investment returns or evade short-term risk.3. Under the different investment opportunity, normatively studies the single-period portfolio choice decision confronted by long-term investors. The research indicates investors'behavior is myopic under the constant opportunity: the long-term investors hold the same portfolio as the short-term investors; Under the time-vary opportunity, the long-term investor will allocation more stock asset than the myopic investor, which is due to the stock return's mean-reversion character; Empirically studies the investor's SAA decision-making which considers returns predictable and parameter uncertainty. The investment opportunity's time-vary character reduces the conditional variance of the risk asset's return rate in the long run, so the long-term investors consider the risk fall down and the risk asset's weight increases. And then suggests if the investor ignore the estimation risk, may lead the investor to take position in stocks which are both too large and too sensitive to the predictor.4. Proves that the tactical asset allocation, which is the short-run optimal rebalance decision-making, is base on the strategic asset allocation, which is depended on the long-term objective. They are the whole one and supplement each other. Under the constant opportunity, studies the multi-period portfolio choice decision confronted by investors, points out the investor behavior is myopic. But indicates the myopic effect in single-period and multi-period framework is different. Considers the single-period framework, the investor believe that the risk assets'premium and variance of return lineally increase with the investment horizon, so constantly hold the portfolio to the end; under the multi-period, the investor believe the risk asset'premium and variance of return keep constant in every time, so ignore the investment opportunity's variation, perform the constant mix tactic.5. Under the time-vary investment opportunity, studies the optimal multi-period portfolio choice decision confronted by long-term investors. Indicates the investor's portfolio choice in time-vary opportunity is significant different from which in constant opportunity: the optimal portfolio is make up of two parts, the one is the myopic portfolio and the other is the hedge demand portfolio. And the myopic portfolio differentiates from which in constant investment opportunity. The hedge demand portfolio depend on (1) the investor's relative risk aversion, (2) the objective correlation between the assets'return rate and the variable, (3) the investor's subjective faith in the correlation. Then, emphasis studies the specifically investment situation's multi-period optimal portfolio choice, which includes mean-reverting returns, stochastic interest rate, and inflation uncertainty. Suggests the investor's optimal portfolio constitute by the myopic portfolio and four hedge demand portfolios, the weight of risk assets in portfolio increases with the investor's horizon, which is resemble with the point of single-period portfolio choice in time-vary investment opportunity. But the affect mechanism is different: the horizon effect is due to the investor's hedge demand, which was proposed by Merton (1973). Finally, considers the effects of parameter uncertainty and the investor's learning about the predictive.The main innovations of this paper are as follows:1. Firstly studies the investor's SAA decision-making under time-vary investment opportunities, which are mean reversion and return predictability. Empirically study Indicates the long-term investor will allocation more stock asset than the myopic investor in considering returns predictability, and if the investor ignores the estimation risk, may lead him to take position in stocks which are too large to the predictor.2. Firstly introduces return predictability into multi-period problem under time-vary investment opportunity. Points the investor's portfolio choice in time-vary opportunity is significant different from which in constant opportunity: investors have the hedge demand. And the hedge demand portfolio depend on (1) the investor's relative risk aversion, (2) the objective correlation between the assets'return rate and the variable, (3) the investor's subjective faith in the correlation. Firstly studies the multi-period portfolio choice under the condition of random rate, uncertain inflation and mean-reversion, which introduces investor heights his risk asset's weight as the horizon increases.3. Presenting the useful investment advices maybe this paper's most important innovation. These advices are the key in guiding the investor's asset allocation decision-making.This paper systemically normatively and empirically research on the problem of the long-term investor's optimal portfolio choice decision-making under different investment opportunities. Draws a conclusion for all of points: Based on the long-term investment objective to construct the optimal long-run portfolio, and then investor will optimally rebalances the portfolio over his investment horizon to increase short-term investment returns or evade short-term risk. And investor's asset allocation decision-makings are significant differences among different investment opportunities: if the investor believes the investment opportunity is constant, his invest behavior is myopic. In the decision-making of SAA, the long-term investor would hold the same portfolio as the short-term investor. In the decision-making of TAA, investor would perform the constant-mix tactic; if the investor considers the investment opportunity's time-vary character, the weight of risk assets in the long-term investor's optimal portfolio would more than that of the short-term investor's in both of SAA and TAA decision-making, but the reason is different: the former is the investor's perceived risk will reduce in the long run, the later is the hedge demand. And after considering the parameter uncertainty and the investor's ability of learning, the weight of risk assets in the long-term investor's optimal portfolio will reduce.