长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

Abstract

Abstract: In this paper, thorough research is conducted both theoretically and empirically on predictability in asset returns affecting optimal portfolio choice for investors with long horizons. Based on China stock market data, it is found that: the returns of China stock market have predictability in long horizon, and differ from the classical theory, the long-term investors should allocate more risk assets than the short-term investors. It is suggested that in China, the long-term investors such as social security funds, occupational pensions and insurance companies, could increase their allocation shares for stocks.

Key words: strategic asset allocation, return predictability, investment horizon

CLC Number:

F830

YANG Chao-jun, CHEN Hao-wu, YANG Wei-qin. Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market[J]. Chinese Journal of Management Science, 2012, (3): 63-69.

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Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market

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