Momentum and Mean Reversion in Strategic Asset Allocation

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Rodriguez, Juan Carlos; Sbuelz, Alessandro
• 署名单位: University of Chicago; Tilburg University; Catholic University of the Sacred Heart
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1090.1006
• 发表日期: 2009
• 页码: 1199-1213
• 关键词: portfolio choice; investment criteria; Financial institutions; INVESTMENT

摘要

We study a dynamic asset allocation problem in which stock returns exhibit short-run momentum and long-run mean reversion. We develop a tractable continuous-time model that captures these two predictability features and derive the optimal investment strategy in closed form. The model predicts negative hedging demands for medium-term investors, and an allocation to stocks that is nonmonotonic in the investor's horizon. Momentum substantially increases the economic value of hedging time variation in investment opportunities. These utility gains are preserved when we impose realistic borrowing and short-sales constraints and allow the investor to trade on a monthly frequency.