Mimicking Portfolios
提出一种构建模仿投资组合的新方法，以纽交所个股为例，通过匹配目标股票对交易所交易基金的风险暴露，构建出特质波动率更低且只需适度再平衡的投资组合。
Mimicking portfolios have many applications in the practice of finance. A new method for constructing them is presented in this article. The authors illustrate its application by creating portfolios that mimic individual NYSE stocks. On the construction date, a mimicking portfolio exactly matches its target stock’s exposures (betas) to a set of exchange-traded funds, which serve as proxies for global factors. The portfolio has much lower idiosyncratic volatility than its target, and mimicking portfolios require only modest subsequent rebalancing in response to instabilities in target assets and assets used for portfolio construction. Although here composed exclusively of equities, mimicking portfolios show potential for mimicking non-equity assets as well.