Precision Investing: On the Optimal Design of Personalized Performance Portfolios for Liability-Driven Investors
刻画了多资产负债驱动投资策略中绩效投资组合的最优设计，将风险资产需求分解为多个基金组合，并根据投资者负债目标和约束进行个性化配置，类似精准医疗的定制化思路。
This article provides an explicit characterization for the optimal performance portfolio when this portfolio is used as part of a multiasset liability-driven investment strategy that may involve rebalancing. In this context, the optimal demand for risky assets can be represented as a combination of several funds, including the maximum Sharpe ratio portfolio, the minimum-variance portfolio, and the portfolio that is most correlated with liabilities. The allocation to the various funds depends on the investor’s liability-driven objectives and constraints. This personalized approach to the construction of performance portfolios is somewhat similar to the precision medicine model, widely regarded as a fundamental breakthrough that marks the start of a whole new era for medical practice by proposing the customization of health care instead of a one-drug-fits-all approach.