An ICAPM Framework for Asset Allocation
提出基于跨期资本资产定价模型（ICAPM）的投资组合理论，它融合了实践中常用的对冲/追求回报组合方法，解决了现代投资组合理论和标准CAPM的关键问题，并为负债相关、目标导向和纯资产配置提供了统一框架。
Asset allocation should rely on a sound theoretical foundation that is empirically valid and robust in practice. Intertemporal CAPM (ICAPM) portfolio theory resembles the hedging/return-seeking portfolios approach sometimes used in practice, but with a sound theoretical foundation, empirical support, and attractive features for functional implementation. ICAPM portfolio theory largely resolves key issues with modern portfolio theory and standard CAPM portfolio theory, while providing a unified framework for liability-relative, goals-based, and asset-only asset allocation. The author documents the application of ICAPM portfolio theory to practice, addressing key implementation and technical issues related to the liability hedge, risky-asset portfolio optimization and constraints, portfolio selection and Monte Carlo simulation, and extensions to goals-based and asset-only asset allocation.