祝贺西南财经大学金融研究院李凯副教授与美国加州大学圣地亚哥分校雷迪管理学院Jun Liu教授在著名国际期刊《Operations Research》(英译:《运营研究》)发表论文 “Optimal Dynamic Momentum Strategies”(英译:《最佳的动态动量策略》)。
题目:“Optimal Dynamic Momentum Strategies”(最佳的动态动量策略)
作者:李凯(麦考瑞大学应用金融系,西南财经大学金融研究院),Jun Liu(加州大学圣地亚哥分校雷迪管理学院)
摘要:
We explicitly solve for the optimal dynamic trading strategy between a riskless asset and a risky asset with momentum. The optimal portfolio weight depends not only on the momentum, as in Merton’s framework, but also on the historical price path; this contrasts with Merton. Because of their path dependence, optimal portfolio weights have a wide distribution for a given level of momentum; for example, investors may short the risky asset if it has rebound price paths but leverage if it has hump-shaped price paths. This effect tends to be the most significant after large price swings. Path dependence is solved with explicit formulas and presented with heuristic statistics.
我们明确地解决了无风险资产和有动量的风险资产之间的最佳动态交易策略。最佳的投资组合权重不仅取决于动量,就像默顿的框架一样,也取决于历史价格路径;这与默顿的框架形成了鲜明的对比。与默顿不同。由于其路径依赖性,在给定的动量水平下,最优投资组合权重具有广泛的分布;例如,如果风险资产有反弹的价格路径,投资者可能会做空,但如果它有驼峰型的价格路径,则会有杠杆效应。这种影响往往在价格大幅波动后最为明显。路径依赖性是 用明确的公式来解决,并以启发式统计的方式呈现。