另类资产配置方法研究述评

A Review of Alternative Asset Allocation Methods

资产配置是现代金融决策理论和应用研究中的核心课题。近年来,受到后金融危机时代全球经济复苏疲软的影响,股票、债券等传统金融资产的投资回报不断承压,另类资产投资逐渐成为当前世界资产管理行业中的热点。然而,不同于传统的金融资产,另类资产的收益往往不满足正态分布且投资另类资产可能面临流动性缺乏的风险。当投资组合中包含另类资产时,传统的资产配置方法通常将无法适用。在此背景下,分别从考虑资产收益非正态分布和考虑非流动性因素这两个方面对适用于包含另类资产的资产配置问题的另类资产配置方法进行了总结和分析,并在此基础上对未来另类资产配置方法的研究提供了思路和建议。

Asset allocation is a core subject in modern financial theory and application research.he investment returns of traditional financial assets such as stocks and bonds have been not satisfied,so that alternative asset investment has gradually become a hot spot in the world asset management industry.However,unlike traditional financial assets,the returns of alternative assets are often not normally distributed and investing in alternative assets may face the risk of lack of liquidity.Thus,traditional methods of asset allocation will not work as before.In this context,the article sorts out and summarizes the research literature on alternative asset allocation methods from the two aspects of considering non-normal distribution and considering illiquidity factors,and on this basis,provides research ideas and suggestions for future research on asset allocation area.