最大限度地减少短缺
Minimizing Shortfall
摘要：
本文描述了一个实证研究的短缺优化与巴拉极端风险。我们使用Barra风格因子（价值、增长、动量等）比较了美国、英国和日本股市的最小缺口和最小方差投资组合。我们发现，在1985-2010年期间，最小化短缺通常会提高性能，特别是在市场低迷期间。短缺的表现优于其他因素是由于直觉倾向于价值等保护性因素，而远离增长和动量等积极因素。表现最好的是衡量整体不对称性而不是极端损失的缺口。
英文摘要：
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like Value, and away from aggressive factors like Growth and Momentum. The outperformance is largest for the shortfall that measures overall asymmetry rather than the extreme losses.
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