Diversification and Asset Allocation in the Post-COVID Era
研究了后疫情时代通胀上升导致传统资产间多元化效果减弱的问题，提出了基于功能分类的资产配置框架，将资产分为追求回报、分散化和尾部风险对冲三类，并利用防御性和多元化另类风险溢价策略及非流动性资产的伪多元化效应。
Since the Global Financial Crisis, central banks have created an environment in which risk taking and leveraging were the predominant strategies in the markets. Unprecedented central bank stimulus has led to market dynamics in which the availability of market liquidity has replaced the fundamentals of the economy as a driver of investment returns. The COVID crisis ended a 40-year period of low inflation, declining interest rates, and decreasing macro volatility in developed markets. The rise of inflation changed the market dynamics, and the diversification effect between liquid bonds, credit, and equity markets weakened significantly. As the investment market has become less diversified, it has become necessary to find new sources of diversification in portfolios. The author proposes a functional framework for asset allocation under uncertainty of correlation regimes. The functional categories for the asset classes in a portfolio are return-seeking assets, diversifiers, and tail risk hedges. The framework exploits the characteristics of defensive and diversifying alternative risk premium strategies, as well as the artificial diversification effect of illiquid asset classes.