摘要
随着主权财富基金兴起、私人财富管理需求激增、跨境资本流动加剧,跨境资产配置备受关注。经典资产配置策略仅以资产收益率时序特征作为依据,将其应用范围由单个地区外推至全球时面临若干技术性障碍,亟待改进。基于此,本文首先选取全球21个主要国家和地区的典型股票指数为样本,使用改进方法刻画资产的拓扑空间属性并据此实施资产选择和组合构建,然后,通过业绩对比检验方法的有效性和稳定性,最后,使用面板模型检验影响资产相关性的核心经济基本面因素。结果发现,资产选择结果稳定,跨境资产组合业绩在不同规模和时期均表现良好;资产相关性与经济基本面联系紧密,同时,受各国家或地区自身经济特征和彼此交互关系等因素影响,可据此为跨境资产配置提供前瞻性和先验性依据。本文的研究结论丰富了现代资产组合理论,兼对合理引导资本跨境流动、防范系统性风险等有重要启示。
In recent years,with the rise of sovereign wealth funds(SWFs),the surge of private wealth management demand,and the increase of cross-border capital flows,the global asset allocation has been valued highly and attracted much attention from both theoretical and practical circles.The classical portfolio theory(e.g.,the modern portfolio theory)usually faces several technical barriers when applying asset allocation from a single region to a worldwide scope.It simply uses the temporal characteristics of asset returns as the selection criteria and lacks prior information as a solid foundation,which urgently needs to be improved.For these reasons,this paper mainly analyzes the following topics.Firstly,it systematically reviews the theoretical research evolution of global asset allocation,and reveals the mechanism and principles of obtaining benefits and facing difficulties when allocating assets in the worldwide scope.Secondly,it selects the representative stock indexes of 21 major countries and regions(economies for short)of the world as asset samples and uses an improved algorithm to describe their topological spatial attributes.Furthermore,it implements asset selection and dynamically builds some global assets portfolios according to the categorization results,and tests the effectiveness and robustness of the algorithm through performance comparison.Finally,it uses the panel model to empirically identify the core fundamental factors that affect the correlation of global assets and provides corresponding economic explanations.The findings of this paper reveal several key insights.Firstly,the asset categorization results based on their topological spatial attributes are basically robust,indicating that the method can be applied properly to asset selection.Secondly,the performance of those global asset portfolios is mostly better than that of comparison group QDII funds at different scales and periods,indicating that the method is effective and profitable.Thirdly,the asset correlation is significantly affected by severa
作者
刘广
叶祥松
LIU Guang;YE Xiangsong(Guangzhou University,Guangzhou,China)
出处
《经济学动态》
CSSCI
北大核心
2024年第9期56-75,共20页
Economic Perspectives
基金
国家社会科学基金项目(19BJY249)。
