多元化(营销策略)
2019年冠状病毒病(COVID-19)
资产配置
经济
资产(计算机安全)
业务
金融经济学
计算机科学
医学
内科学
营销
计算机安全
传染病(医学专业)
文件夹
疾病
标识
DOI:10.3905/jpm.2024.1.610
摘要
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.
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