状态依赖下考虑空间交互作用的资产配置模型与实证

Asset Allocation Model Considering Spatial Interaction in Regime-Dependence

构造基于经济距离的空间权重矩阵捕捉资产间的空间交互作用,考虑市场状态对空间交互作用的影响,构建状态依赖下考虑空间交互作用的收益估计模型。进一步,推导期望收益率的协方差矩阵,构建考虑时间和截面双重维度系统性风险的资产配置模型。研究发现,空间交互作用是状态依赖的,对收益有显著的解释能力。状态依赖下的贝塔系数捕捉时间维度系统性风险,间接效应和反馈效应捕捉截面维度系统性风险,状态依赖下考虑空间交互作用的资产配置可以提高传统均值-方差资产配置的表现,为投资者决策提供有价值的参考。

This paper constructs an economic distance based spatial weight matrix to capture the spatial interaction among assets,considers the influence of market regime on spatial interaction,and develops a return estimation model taking into consideration spatial interaction in regime-dependence.By deriving the covariance matrix of expected return,an asset allocation model considering both time and cross-sectional dimensional systemic risks is constructed.It is found that spatial interaction is regime-dependent and has a significant explanatory power for return.The beta coefficients in regime-dependence capture the time dimensional systemic risk,while the indirect effects and feedback effects capture the cross-sectional dimensional systemic risk.Consideration of the spatial interaction in regime-dependence can improve the performance of the asset allocation model and provide valuable reference for investors to make decisions.