通货膨胀背景下的资产收益及其配置

The Research on the Assets Return and Allocation under Inflation

基于资产配置的研究重点逐步由资产管理转向资产负债管理,如考虑影响投资者未来支出的物价因素,通过建立考虑通货膨胀因素的Markowitz投资组合模型,结合投资者的基于均值―方差的效用函数,求解出在通货膨胀影响下的最优资产组合配置。研究发现:温和通胀时期,股票可以作为对冲通货膨胀的资产,并导致最优投资组合中股票权重上升;由于股票指数中消费类行业股票与CPI呈现正相关,考虑通胀因素后消费类股票的配置进一步上升。这一结论对于投资者的投资组合管理,尤其是养老金的投资组合管理具有积极意义。

The research on the asset allocation is been shifted from assets management to liability management. An optimal portfolio can be given by the Markowitz portfolio model and the investor＇s utility function. Researches show that the inflation and stock return have a scenario-based correlation, and assets＇ return is positive related to the inflation except very high inflation and deflation. As a result, a dynamic asset allocation is needed to use stock to hedge again inflation. This conclusion is hereby useful to the investor＇s portfolio management, especially the portfolio management of pension.