Allocating to Thematic Investments
提出将主题作为资产类别之外的额外投资维度，并基于稳健投资组合优化构建战略资产配置框架，帮助投资者在传统多资产组合中纳入主题投资。
We introduce the notion of themes as an additional investment dimension beyond asset classes, regions, sectors and styles, and propose a framework to allocate to thematic investments at a strategic asset allocation level. Allocating to themes requires discipline because thematic investments are not only exposed to the theme but also to the traditional risk factors. Our approach uses a framework based on robust portfolio optimisation, which accounts for the expected excess return from the exposure to the theme and from exposures to traditional risk factors. We provide an example to illustrate how thematic investments fit in traditional multi-asset portfolios.