论文标题
置换加权投资组合和商品期货市场的效率
Permutation-Weighted Portfolios and the Efficiency of Commodity Futures Markets
论文作者
论文摘要
市场投资组合是一个投资组合，其中每个资产的权重与其市场价值成正比。功能生成的投资组合是投资组合，相对于市场投资组合的对数收益可以分解为市场权重的函数和局部有限变化的过程，并且这种分解对于表征投资组合的长期行为方便。置换加权投资组合是一种投资组合，其中资产的权重与其市场价值的排列成正比，而这种投资组合仅针对具有两个资产的市场才能生成（身份置换率除外）。反向加权投资组合是一种投资组合，其中最大的市场重量的资产分配了最小的市场重量，第二大重量的资产被分配为第二款巨大的资产，依此类推。尽管没有功能生成四个或多个资产的市场中的反向加权投资组合，但仍然可以使用基于等级的方法来表征其长期行为。该结果适用于商品期货市场，在那里我们表明，反向价格加权投资组合在1977 - 2018年开始大大优于价格加权投资组合。
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. Functionally generated portfolios are portfolios for which the logarithmic return relative to the market portfolio can be decomposed into a function of the market weights and a process of locally finite variation, and this decomposition is convenient for characterizing the long-term behavior of the portfolio. A permutation-weighted portfolio is a portfolio in which the assets are held at weights proportional to a permutation of their market values, and such a portfolio is functionally generated only for markets with two assets (except for the identity permutation). A reverse-weighted portfolio is a portfolio in which the asset with the greatest market weight is assigned the smallest market weight, the asset with the second-largest weight is assigned the second-smallest, and so forth. Although the reverse-weighted portfolio in a market with four or more assets is not functionally generated, it is still possible to characterize its long-term behavior using rank-based methods. This result is applied to a market of commodity futures, where we show that the reverse price-weighted portfolio substantially outperforms the price-weighted portfolio from 1977-2018.
