THE JOURNAL OF PORTFOLIO MANAGEMENT ? VOL. 45, NO. 1 ? FALL 2018

实物资产的协方差矩阵

作者：Marielle de Jong (Amundi Asset Management in Paris, France)

摘要：对于私募股权、基建和房地产等实物资产，在时间序列上计算交易价格的方差意义不大，因为这些资产的交易频率不高。作者认为，在横截面上使用方差作为投资风险的度量指标更有意义。作者基于实物资产投资业绩数据，在横截面上衡量不同资产类别的组内和组间方差（或分散程度）。以这种方式估计的协方差矩阵，与根据时间变化计算的频繁交易的资产协方差矩阵具有相似的特征。作者认为，该矩阵可用于分析风险和构建实物资产投资组合，方法与投资流动性高的资产相同。

The Covariance Matrix between Real Assets

Marielle de Jong (Amundi Asset Management in Paris, France)

ABSTRACT

For real assets such as private equity, infrastructure, and real estate, computing the time-variance of trade prices is of limited interest because there is not much trading in these assets. The author argues that it is more meaningful to use variance measures over the cross section as indicators for investment risk. In a large database of funds invested in sparsely traded assets, the cross-sectional variance—or dispersion—of fund performances is measured within and between the asset classes in which they are invested. The covariance matrix that is estimated in this way has features similar to the matrix between regularly traded assets that is computed over time. The author argues that the matrix provides a practical framework for analyzing risk and constructing portfolios invested in real assets with the same methods that are habitually employed on liquid assets.

原文链接：https://doi.org/10.3905/jpm.2018.45.1.085

翻译：吕越