Journal of Financial and Quantitative Analysis · Volume 52, Issue 3 June 2017, pp. 1183-1209

生命周期中的股票市场均值回复与投资组合选择

作者：Alexander Michaelides (Imperial College London), Yuxin Zhang (Renmin University of China)

摘要：我们在具有短期销售和借款限制、不可分割的劳动收入风险和可预测的时变股票溢价的生命周期模型中解决最优消费和投资组合选择问题，结果表明投资者会追求主动的市场择时策略。更重要的是，在存在股票市场可预测性的情况下，该模型表明，将股票市场风险降低作为退休账户处理方法的常规财务建议从平均水平而言是正确的，但忽视不断变化的市场信息可能导致重大的福利损失。因此，对预期股票溢价进行调整的增强目标日期基金（ETDF）相对于目标日期基金（TDF）福利更高。样本外分析支持这些结论。

Stock Market Mean Reversion and Portfolio Choice over the Life Cycle

Alexander Michaelides (Imperial College London), Yuxin Zhang (Renmin University of China)

ABSTRACT

We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints; undiversifiable labor income risk; and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the presence of stock market predictability, the model suggests that the conventional financial advice of reducing stock market exposure as retirement approaches is correct on average, but ignoring changing market information can lead to substantial welfare losses. Therefore, enhanced target-date funds (ETDFs) that condition on expected equity premia increase welfare relative to target-date funds (TDFs). Out-of-sample analysis supports these conclusions.

原文链接：https://doi.org/10.1017/S0022109017000357

翻译：陈然