Bridging the Gap between Strategic Allocation and Investment Risk
针对长期战略资产配置与短期投资风险模型不一致的问题，提出一种方法，通过调整短期历史校准的风险系统生成的模拟情景来反映长期资产特征，帮助机构投资者更好地进行组合配置、敏感性分析和压力测试。
For many institutional investors, there is a potential inconsistency between models used for long-term strategic asset allocation and investment risk management. Investment risk models, often calibrated with a shorter history spanning 5 to 15 years, could provide misleading results when used for strategic portfolio construction decisions, which usually consider longer-term asset characteristics spanning multiple business cycles. In this article, the authors propose a methodology to address this challenge. They show that it is possible to reflect long-term asset characteristics in simulated scenarios generated by a risk system calibrated with short-term history, creating a better alignment between risk and strategic asset allocation models. Their methodology allows institutional investors to better use existing simulations from their risk models for portfolio allocation, sensitivity analysis, stress testing, and other portfolio applications. <b>TOPICS:</b>Portfolio construction, simulations, risk management, performance measurement <b>Key Findings</b> ▪ The authors propose a methodology to address the common inconsistency that exists between models used for long-term strategic asset allocation and investment risk management. ▪ The authors show that it is possible to reflect long-term asset characteristics in simulated scenarios generated by a risk system calibrated with short-term history, creating a better alignment between risk and strategic asset allocation models. ▪ The methodology allows institutional investors to better use existing simulations from their risk models for portfolio allocation, sensitivity analysis, stress testing, and other portfolio applications.