论文标题
分析五因素资本市场模型
Analysis of a five-factor capital market model
论文作者
论文摘要
在本文中，我们分析了Munk等人（2004年）的五因素资本市场模型。该模型具有Vasitek利率模型，该股权指数具有均值撤销的超额回报，并且是实现通货膨胀的指数，并具有均值的期望。分析的主要目的是在一组离散的时间点上促进模型中所谓的精确模拟。事实证明，这可以通过从（退化）七维正态分布进行取样来实现。我们得出了必要的分布结果，并描述了如何在实践中克服方差 - 协方差矩阵的等级缺陷。 原始模型中的可交易资产包括现金，名义债券和股票。我们将投资宇宙扩展到还包括通货膨胀债券，通过推导无套利的通货膨胀率（BEI）曲线，以对两种通货膨胀风险的两个市场价格进行三参数规范。最后，我们提供了许多辅助结果，涉及恒定成熟度标称和通货膨胀债券指数的动态，股票指数以名义和真实条款的分布以及单个资产和投资组合的Sharpe比率的分布，并应用于因素投资。
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting expectation. The primary aim of the analysis is to facilitate so-called exact simulation from the model on a set of discrete time points. It turns out that this can be achieved by sampling from a (degenerate) seven-dimensional normal distribution. We derive the distributional results necessary and describe how to overcome the rank deficiency of the variance-covariance matrix in practice. The tradeable assets in the original model consist of cash, nominal bonds and stocks. We extend the investment universe to also include inflation bonds by deriving the arbitrage free break-even inflation (BEI) curve for a three-parameter specification of the two market prices of inflation risk. Finally, we provide a number of auxiliary results regarding the dynamics of constant-maturity nominal and inflation bond indices, the distribution of the stock index in nominal and real terms, and the distribution of the Sharpe ratio for individual assets and portfolios with an application to factor investing.
