考慮物價膨脹下跨期資產配置的風險分散效果

Abstract

傳統的CAPM以靜態的分析，將市場風險作為資產報酬的評價來源，透過總體面因素的分析，可以將個別資產明確指出其與市場因素的關係。然而欲探究跨期模型的分析時，卻無法適切的表達動態的影響因子。透過跨期資產定價模式可以更清楚的釐清市場風險、風險趨避態度、以及投資人效用極大化的議題。 風險趨避的投資人透過財富極大化的目標函數與考慮物價膨脹因素下的跨期預算限制式，並且以Epstein-Zin Utility捕捉投資者在考慮物價膨脹因素下的風險趨避心態，導求出考慮物價膨脹下的跨期資產定價模型。以個別資產與投資組合共變異關係佔投資組合變異數的比例，作為投資組合中個別資產的配置比例，可以進一步導求出考慮物價膨脹下的跨期資產配置比例模型。在考慮物價膨脹下，投資者會進行動態的資產配置，在每個期間重新調整資產的配置比例。在不考慮物價膨脹下，投資者只關心個別資產與市場投資組合的共變異風險；然而考慮物價膨脹下，投資者還會進一步的探討個別資產與物價膨脹因素的共變異關係。 本研究以資產定價模型出發，嵌入跨期因素以及物價膨脹因子，構建考慮物價膨脹下的資產配置模型，並且預測未來一期的資產報酬，作為動態資產配置的工具，以評估考慮物價膨脹下跨期資產配置的投資組合績效。考慮物價膨脹下的跨期資產配置比例作為投資組合的資產分配比例，係透過未來資產價格的預期及其與其他因素之共變異關係，可以達到風險分散的效果，但是在調整資產配置比例時，需要比不考慮物價膨脹因素下要有更高的資產部位作調整，才能達到最適的風險分散配置比例。

Traditional Capital Asset Pricing Model (CAPM) focuses on the issue of the static state. The asset return is evaluated by the macroeconomic factor, that is market risk. However, the traditional CAPM is not appropriate to analyze the dynamic factors under the cross section study. The Intertemporal Capital Asset Pricing Model (ICAPM) could be applied to analyze the cross section issues, such as dynamic market risk, investors’ risk attitude and the utility maximization problems. Investors’ risk aversion attitude could be described via the Epstein-Zin Utility with the consideration of the inflation factor. The Deflated Intertemporal Capital Asset Pricing Model (DICAPM) with maximizing intertemporal utility objective function and the deflated constraint could be derived. The deflated intertemporal asset allocation is established by the entry proportion, which is the covariance between the single asset return and the portfolio return divided by the variance of the portfolio return. Investors can use the deflated intertemporal asset allocation model to modify the allocated proportion in the asset portfolio dynamically during each period. The model describes two main covariance factors, namely, the covariance between the single asset and the portfolio as well as the covariance between the single asset and the inflation rate. This study derives the deflated intertemporal asset allocation model by the investors’ intertemporal utility function and the deflated pricing model. It contains two main factors, the intertemporal factor and the inflation rate. With the allocation model, we can construct the asset portfolio dynamically. We evaluate the performance of the portfolio with the intertemporal model and the deflated intertemporal model using Sharpe and Treynor Ratios. With the allocation model, investors will have better portfolio performance and need more positions to modify the asset portfolio to the optimal state comparing with the result of non-deflated model.