Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.
本书论证短期与长期投资组合选择存在本质差异，分析长期债券、股票、劳动收入冲击及生命周期等因素对资产配置的影响，为长期投资者提供策略参考。
Is a book about long‐term investing really necessary? Are there actually that many differences between short‐term and long‐term portfolio selection? As Campbell and Viceira (CV) show in their book, the answer to both of these questions is a definite ‘yes’. The typical capital allocation rules for myopic portfolio selection may indeed be sub‐optimal when the investment horizon becomes longer. The main sources for the differences between short and long term are found to be changes to the investment opportunity set (e.g. shifts in first and second moments of asset returns), shocks to labour income, and to investors’ wealth. All these sources of randomness do not exist in a one‐period model, and are thus irrelevant to the investment decision in a myopic portfolios selection problem, whereas they can have a major impact on long‐term investment decisions. Still, a review of the classical portfolio selection problem in a one‐period world is a good starting point for the discussion of long‐term investment. So the authors present a collection of useful results on myopic asset allocation in Chapter 2. In the following chapters CV then analyse multi‐period problems. First, they discuss investments in long‐term bonds (Chapter 3), where inflation becomes a key risk factor. The analysis here is of special interest, since in the context of a static portfolio selection problem it is hard to make the case for any investment in bonds at all, given their short‐term risk‐return characteristics. As the authors show over longer horizons bonds become much more attractive, especially when inflation‐indexed. These bonds are the only vehicle to achieve a safe real cash flow at the end of the investment period, so they are actually even safer than a rollover strategy using short‐term money market investments. In Chapter 4 CV investigate the stock market as an investment vehicle for the long run. Here the empirical phenomena of mean‐reversion and predictability in stock returns become relevant. The recommendation is to increase the proportion of wealth invested in equities, when there is significant evidence of mean‐reversion, and to hold indexed bonds as an inflation hedge. The results of this chapter also relate to the ongoing debate about long‐term risks and benefits of stock investments. The authors do a very good job in making clear what the key issues actually are in this discussion, and they help the reader in forming his or her own opinion on equity investments over long horizons. Chapter 5 is devoted to the more technical issue of long‐term investment in the context of a continuous‐time model. Despite the fact that the authors have to use more advanced mathematical theory like stochastic calculus, the reader still gets a lot of intuition concerning the problem of changing volatility. Again, the authors derive simple advice for the investor by saying that volatility risk should be hedged via a reduction of the exposure to equity risk. However, it becomes clear that changes in volatility are not as important a risk factor as, e.g., changes in expected excess stock returns. In Chapter 6 CV discuss the impact of shocks to an individual's labour income on his or her portfolio choice. The results here are very intuitive. Since labour income provides a substitute for income derived from asset returns, and since labour income will in general not be as risky as asset market investments, the individual can afford to take more risk in the asset markets without changing his or her total consumption risk. Usually the consequence is a shift from bonds into equities. An interesting generalisation of the analysis in this chapter is concerned with habit levels in consumption, which can be interpreted as negative labour income. Finally, in Chapter 7 the authors extensively investigate the problem of investment over the life cycle. Due to financing problems of many pay‐as‐you‐go government pension systems this is currently a hot topic, not only among academics interested in long‐run investment. The authors confirm many of the common suggestions, saying that at a younger age a higher proportion of an individual's investment should go into stocks, whereas later more emphasis should be placed on bonds. However, the authors critically remark that heterogeneity among households (with respect to time preference and risk attitude) is an issue that has to be taken seriously. There is no general rule providing the right advice for everyone.