Financial Analyst Journal, Volume 69, Issue4, 2013

金融危机中的资产质量与配置

作者：Terry Marsh (University of California),

Paul Pfleiderer (Stanford University)

摘要：关于最近的金融危机，作者认为对市场错位的投资组合分配的适当调整是由市场均衡（供给必须等于需求）所决定的，并且同时取决于相对于社会平均的个人投资者特征。作者使用一个简单的模型以衡量近期危机幅度，发现大多数投资组合的最佳战术调整要求周转率低于10％。

Flight to Quality and Asset Allocation in a Financial Crisis

Terry Marsh (University of California), Paul Pfleiderer (Stanford University)

ABSTRACT

With respect to the recent financial crisis, the authors argue that the appropriate adjustments to portfolio allocations in response to the market dislocation are determined by equilibrium considerations (supply must equal demand) and depend on individual investors’ characteristics relative to societal averages. Using a simple model that captures the magnitude of the recent crisis, the authors show that the optimal tactical adjustments for most portfolios require a turnover of less than 10%.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n4.3

翻译：秦秀婷