Momentum and Mean Reversion in Strategic Asset Allocation
构建了一个连续时间模型，研究股票收益短期动量和长期均值回归下的动态资产配置问题，推导出最优投资策略的闭式解，并发现动量显著提升了对冲投资机会时变的经济价值。
We study a dynamic asset allocation problem in which stock returns exhibit short-run momentum and long-run mean reversion. We develop a tractable continuous-time model that captures these two predictability features and derive the optimal investment strategy in closed form. The model predicts negative hedging demands for medium-term investors, and an allocation to stocks that is nonmonotonic in the investor's horizon. Momentum substantially increases the economic value of hedging time variation in investment opportunities. These utility gains are preserved when we impose realistic borrowing and short-sales constraints and allow the investor to trade on a monthly frequency.