Journal of Financial Markets, Available online 28 April 2017, In Press, Corrected Proof — Note to users

序列相关、状态转换和存在交易成本下的止损策略

作者：Andrew W. Lo (MIT Sloan School of Management and CSAIL), Alexander Remorov (MIT Operations Research Center)

摘要：投资者通常在风险资产价格或总价值打破某个事先设定的阈值时，使用止损策略，减少风险资产头寸。我们推导了止损策略对资产收益率影响的闭式表达式，该资产收益率具有序列相关、状态转换特征，并考虑了交易成本。在对美国股票市场样本的实证研究中，我们发现在均值-方差框架下，严格的止损策略由于过高的交易成本，表现不如买入-持有策略。在收益存在很强序列相关性的股票中，止损策略有机会胜出。这些策略能够在一定程度上降低下侧风险，但不会改善太大。

关键词：止损策略；风险管理；投资；投资组合管理；资产配置；行为金融

Stop-loss strategies with serial correlation, regime switching, and transaction costs

Andrew W. Lo (MIT Sloan School of Management and CSAIL), Alexander Remorov (MIT Operations Research Center)

ABSTRACT

Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching, and subject to transaction costs. When applied to a large sample of individual U.S. stocks, we show that tight stop-loss strategies tend to underperform the buy-and-hold policy in a mean-variance framework due to excessive trading costs. Outperformance is possible for stocks with sufficiently high serial correlation in returns. Certain strategies succeed at reducing downside risk, but not substantially.

Keywords：Stop-loss strategy; Risk management; Investments; Portfolio management; Asset allocation; Behavioral finance

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418117300472

翻译：黄怡文