{"id":4706,"date":"2020-06-07T22:54:13","date_gmt":"2020-06-07T14:54:13","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=4706"},"modified":"2020-06-07T22:54:13","modified_gmt":"2020-06-07T14:54:13","slug":"%e8%b7%9fkol%e5%ad%b8%e6%8a%95%e8%b3%874","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2020\/06\/%e8%b7%9fkol%e5%ad%b8%e6%8a%95%e8%b3%874\/","title":{"rendered":"\u8ddfKOL\u5b78\u6295\u8cc7#4"},"content":{"rendered":"

\u8ddfKOL\u5b78\u6295\u8cc7#4<\/strong><\/span><\/h2>\n
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\u5462\u500b\u8ddfKOL\u5b78\u6295\u8cc7 \u7cfb\u5217<\/span>\u8b1b\u5605KOL\uff0c \u7dca\u4fc2\u5514\u4fc2\u9999\u6e2f\u55f0\u5572\u3002\u8fd1\u671f\u9999\u6e2f\u5572\u7db2\u4e0a\u6295\u8cc7\u9054\u4eba\uff0c\u4e00\u9762\u81ea\u8a8d\u4fc2\u88ab\u52d5\u6536\u5165\u8ca1\u81ea\u73fe\u91d1\u6d41\u50f9\u503cL\uff0c\u4f46\u53e6\u4e00\u9762\u7167\u8ddf\u6559\u73ed\u963fsir \u689dlop loop looop formula\u300c\u6536\u606f\u80a1\/REIT\/\u50b5\u5238+\u69d3\u687f\u300d\uff0c2020\u5e743\u6708\u5373\u5c4d\u6a2a\u904d\u91ce\uff0c\u96a8\u5373\u53c8\u8a71\u8981\u5f9e\u826f\uff0c\u6253\u7b97\u505a\u8fd4\u6700\u7c21\u55ae\u5605\u8cc7\u7522\u914d\u7f6e\uff0c\u300c\u6708\u4f9b\u76c8\u5bcc\u300d\u4e86\u7d50\u9918\u751f\uff08all-in \u6052\u6307<\/a>!?\uff09\u3002<\/span><\/p>\n
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\u5462\u985e\u4eba\u901a\u5e38\u5b88\u5514\u5230\u5be1\uff0c\u904e\u5de6\u4e00\u6392\u898b\u5230\u6709\u5176\u4ed6\u9ad8\u56de\u5831\u65b0\u91ce\u53c8\u6703\u570d\u7210\u8a71\u597d\u6b63\uff0c\u8ddf\u4f4f\u8cfa\u5c11\u5c11\u9322\uff0c\u7136\u5f8c\u9047\u4e0a\u53e6\u4e00\u96bb\u9ed1\u5929\u9d5d\uff0c\u53c8\u6b78\u96f6\u3002<\/span><\/p>\n
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\u4eca\u5e74\u81f3\u4eca\u51fa\u73fe\u7684\u300c\u80ba\u708e\u300d\u53ca\u300c\u4e00\u570b\u4e00\u5236\u300d\u9019\u5169\u96bb\u300c\u9ed1\u5929\u9d5d\u300d\uff0c\u6709\u4eba\u80fd\u7ba1\u7406\u55ce\uff1f\u90a3\u4fbf\u8981\u5411\u771f\u6b63\u7684KOL \u8acb\u76ca\u4e00\u4e0b\u3002<\/span><\/p>\n
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\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d<\/p>\n
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5\u6708\u5c3e\u6709\u4e00\u7bc7\u6295\u8cc7\u754c\u82b1\u908a\u65b0\u805e\uff08\u898b\u6b64<\/a>\uff09\uff0c\u4ee4\u7b46\u8005\u9019\u985e\u82b1\u751f\u53cb\u6709\u591a\u9ede\u5a1b\u6a02\uff0c\u5c31\u662f\u300a\u9ed1\u5929\u9d5d\u6548\u61c9\u300b\uff08The Black Swan\uff09\u7684\u4f5c\u8005Nassim Nicholas Taleb \u8207AQR \u7684Cliff Asness \u5c31tail risk hedging \u65bc\u7db2\u4e0a\u9b27\u4ea4<\/span>\u3002<\/span><\/p>\n
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\u300c\u9ed1\u5929\u9d5d\u300d\u4e00\u8a5e\u662f\u56e0\u70baNassim Nicholas Taleb \u65bc2007\u5e74\u51fa\u7248\u7684\u300a\u9ed1\u5929\u9d5d\u6548\u61c9\u300b\uff08The Black Swan\uff09\u4e00\u66f8\u5f8c\u800c\u88ab\u4eba\u5ee3\u6cdb\u61c9\u7528\u3002\u672c\u7ad9 2017\u5e74\u66f8\u55ae<\/a>\u5167\u300aFooled by randomness\u300b\u90fd\u662f\u51fa\u65bc\u4ed6\u7684\u624b\u7b46\u3002\u81f3\u65bcAQR \u7684Cliff Asness\uff0c\u9999\u6e2f\u6295\u8cc7\u8005\u5514\u8b58\u4fc2\u6b63\u5e38\uff0c\u4f46\u672c\u7ad9\u9577\u671f\u8b80\u8005\u90fd\u6642\u4e0d\u6642\u65bc\u672c\u7ad9\u6587\u7ae0\u898b\u5230\u4ed6\u7684\u540d\u5b57(\u898b\u6b64<\/a>) \uff0c\u5c24\u5176\u662fAQR \u5275\u8fa620\u9031\u5e74\u7684\u7d00\u5ff5\u66f8\u7c4d(\u898b 2019\u5e74\u66f8\u55ae<\/a>)\u3002<\/span><\/p>\n
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Taleb and Asness feud on Twitter over tail-risk hedging<\/a><\/span><\/p>\n
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\u91d1\u878d\u5de8\u4eba\u63a8\u7279\u958b\u6230\uff01\u9ed1\u5929\u9d5d\u4e4b\u7236\u69d3\u4e0a\u8a08\u91cf\u907f\u96aa\u50b3\u5947<\/a><\/span><\/p>\n
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Taleb-Asness Black Swan Spat Is a Teaching Moment<\/a><\/span><\/p>\n
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\u7b46\u8005\u7747\u6232\u7684\u540c\u6642\uff0c\u4ea6\u91cd\u65b0\u601d\u8003\u4e00\u4e0btail risk hedging\u3002<\/span><\/p>\n
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\u300c\u9ed1\u5929\u9d5d\u300d\u4e8b\u4ef6\u662funknown-unknown\u00a0 \u985e\u5225 (\u898b \u6b64\u6587<\/a>) \uff0c\u6709\u7740\u300cunexpected \u4e0d\u53ef\u9810\u6e2c\u300d\u7684\u7279\u6027\uff0c\u800c\u6295\u8cc7portfolio\u5f80\u5f80\u5e7e\u5e74\u4e00\u6f64\u5c31\u53d7\u9019\u4e9b\u9ed1\u5929\u9d5d\u653b\u64ca<\/span>\uff0c\u50cf\u9999\u6e2f\u627f\u53d7\u8d85\u5f37\u98b1\u98a8\u4e00\u6a23\uff0c\u7121\u9810\u5099\u6216\u5fc3\u8840\u5c11\u6216\u5e95\u5b50\u6dfa\u7684\u4eba\uff0c\u6bcf\u6b21\u9047\u898b\u9ed1\u5929\u9d5d\u8755\u9322\u4e4b\u5f8c\uff0c\u5c31\u9078\u64c7\u9003\u907f(avoid)<\/strong> \u3002<\/span><\/p>\n
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\u8655\u7406risk \u5927\u81f4\u67094 \u7a2e\u7b56\u7565\uff0c\u7c21\u7a31TARA:<\/span><\/p>\n
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T<\/span>ransfer \u8f49\u79fb<\/span><\/p>\n
A<\/span>void \u907f\u514d<\/span><\/p>\n
R<\/span>educe \u6e1b\u5c11<\/span><\/p>\n
A<\/span>ccept \u63a5\u53d7<\/span><\/p>\n
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Tail risk \u4e0d\u662f\u6307\u8cc7\u7522\u4e0b\u8dcc\u7684\u98a8\u96aa\uff0c\u4ea6\u4e0d\u662f\u6307\u80fd\u7528diversification \u53bbreduce \u7684 expected risk\uff0c\u800c\u662f\u6307\u5927\u5e45\u4e0b\u8dcc\u7684\u51fa\u73fe\u983b\u7387\u53ca\u8dcc\u5e45\u5927\u65bc expectation\u9810\u671f\uff0c\u5c24\u5176\u662f\u7528normal distribution \u53bb\u8861\u91cf\u98a8\u96aa\u7684\u8a08\u91cf\u6a21\u578b\uff0ctail risk \u8207\u53ca fat tail \u4ee4\u6a21\u578b\u8a08\u7b97\u7d50\u679c\u65bc\u5be6\u969b\u64cd\u4f5c\u6642\u4e0d\u6e96\u78ba\u3002<\/span><\/p>\n
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\u6cc1\u4e14\uff0c\u8a08\u91cf\u6a21\u578b\u53ea\u80fd\u5c07\u7d93\u9a57\u53ca\u77e5\u8b58\u4e8b\u60c5\u6b78\u7d0d\uff0c\u4f46tail risk \u6307\u975e\u77e5\u8b58\u6240\u884c\u5883\u754c<\/strong>\uff08unknown-unknown\uff09\uff0c\u9047\u90fd\u672a\u9047\u904e\uff0c\u944a\u944a\u65b0\u9bae\u944a\u944a\u7518\uff0c\u6240\u4ee5tail risk \u9700\u8981\u7528transfer \u6216 reduce \u53bb\u61c9\u4ed8\u3002<\/span><\/p>\n
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\u7ba1\u7406 tail risk \u6709\u5f88\u591a\u65b9\u6cd5\uff0c\u8a73\u898b\u5ef6\u4f38\u95b1\u8b80<\/strong><\/span>\u6216\u524d\u6587<\/a>\u3002<\/span><\/p>\n
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\u5169\u4f4d\u5927\u5e2bKOL \u7684\u722d\u8ad6\u5176\u5be6\u6e90\u65bcAQR \u8fd1\u671f\u7684\u4e00\u7bc7\u7814\u7a76\u6587\u7ae0(\u898b\u6b64<\/a>) \uff0c\u7b46\u8005\u7528\u6587\u7ae0\u5167\u7684\u5716\u8868\u8ad6\u8ff0\u4e00\u4e0b\u3002<\/span><\/p>\n
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\u4e0a\u8868\u7684Styles \u662f\u7528factor investing \uff08\u5373\u50cf\u7a4d\u91d1\u5927\u53cd\u64ca\u7b2c4\u53ca6\u62db\uff09\uff0cTrend \u662f\u6309\u8da8\u52e2\uff08\u5373\u50cf\u7a4d\u91d1\u5927\u53cd\u64ca\u7b2c5\u62db\uff09\uff0cRisk Parity\u662f\u6309\u6ce2\u5e45\uff08\u898b \u524d\u6587<\/a>\uff09\uff0c20% OTM Puts\u6307\u7528\u4f4e\u6c3420%\u7684Put Option\uff08\u898b \u524d\u6587<\/a>\uff09\u3002AQR \u6587\u7ae0\u662f\u7528Styles\u3001Trend\u3001RP\u300160\/40\u3001OTM Puts \u53bb\u9032\u884ctail risk hedging \u7684\u6aa2\u8a0e\u3002<\/span><\/p>\n
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AQR\u7684\u6587\u7ae0\u6307\u51fa\uff1a\u300e\u77ed\u671f\u7528Put Option \u597d\uff0c\u800c\u9577\u671f\u7528Styles\u53caRisk Parity\u8f03\u597d\u3002\u9577\u671f\u7528Put Option\u56e0option price\/ expense \u592a\u9ad8\u800c\u5f97\u4e0d\u511f\u5931\u3002\u300f<\/span><\/p>\n
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\u6240\u4ee5\uff0cAQR\u8a8d\u70ba\u7ba1\u7406tail risk \u7528Options \u7121\u6548\uff0c\u4f46Taleb\u5247\u8a8d\u70ba\u6709\u3002<\/span><\/p>\n
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\u5927\u5bb6\u4e0d\u8981\u5169\u6975\u5316\uff0c\u4e0d\u8981\u975e\u9ed1\u5373\u767d\u3002\u4e0a\u8868\u7684\u91cd\u9ede\u53cd\u800c\u662f\u300cCombined<\/span><\/strong>\u300d\u3002\u7b2c4\u4ee3\u6295\u8cc7\u8005<\/strong>\u662f\u63a1\u7528\u591a\u5143\u5316<\/span>\u7b56\u7565\uff0c\u4e0d\u9078\u6700\u9ad8\u6700\u597d\u7684\u6700\u512a\u5316\u7d50\u679c\uff0c\u800cAQR\u6587\u7ae0\u7684<\/span>\u300cCombined<\/span><\/strong>\u300d\u5c31\u662f\u75281\/N \u5927\u5305\u570d\uff0c\u5c07Styles \u3001Trend\u3001Risk Parity\u3001Defensive 60\/40\u7b49\u4e00\u4f75\u4f7f\u7528\u3002<\/span><\/p>\n
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Nassim Nicholas Taleb \u8207 Cliff Asness \u8ab0\u5c0d\u8ab0\u932f\uff1f\u62c9\u93c8\u4e26\u4e0d\u662f\u91cd\u9ede\uff0c\u91cd\u9ede\u662f\u6234\u5497\u53e3\u7f69\u6211\u6700\u975a\u3002<\/span><\/p>\n
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\u597d\u6df1\uff1f\u592a\u96e3\uff1f\u5514\u8b58\u7528\uff1f<\/span><\/strong><\/p>\n
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\u5e6b\u81ea\u5df1\u500bportfolio \u505a tail risk hedging \uff0c\u53bb\u62b5\u79a6\u9ed1\u5929\u9d5d\uff0c\u5514\u6703\u96e3\u5f97\u904e\u5c0f\u5b78\u751f\u8b58\u7528Teams\u6216Zoom\u6539\u80cc\u666f\uff0c\u4ea6\u5514\u6703\u96e3\u5f97\u904e\u5927\u5abd\u8b58\u6652\u53e3\u7f69\u7684BFE\u3001PFE\u3001VFE\u3001ASTM F2100\u3001EN14683\u7b49\u6a19\u6e96\u53ca\u8a8d\u8b49\u3002<\/span><\/p>\n
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\u53c8\u8981\u61f6\u53c8\u60f3\u505atail risk hedging\u5605\u8a71\uff0c\u53ef\u4ee5\u8003\u616eETF\u3002<\/span><\/p>\n
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\u7adf\u7136\u6709ETF\u5e6b\u4eba\u505atail risk hedging\uff1fYes\uff0c\u7f8e\u570b\u6709\u597d\u591a\u3002\u4f8b\u5982VXX<\/a>\uff0c\u76f4\u63a5\u5c0d\u6c96volatility\uff1b\u53c8\u6216\u8005\u662f Meb Faber<\/a> \u7684 TAIL<\/a> \uff0c\u6301\u6709\u4e00\u5806OTM\u00a0 S&P500 Put Options\u3002<\/span><\/p>\n
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2020\u5e743\u6708\u7028\u904e\u4e00\u6b21\u5622\u5514\u4ee3\u8868\u5c31\u8981\u8f49\u6295\u8cc7\u7b56\u7565\uff0c\u81ea\u5df1\u627f\u53d7\u4e0d\u4e86\u69d3\u687f\u4e0b\u7684\u6ce2\u5e45\uff0c\u4e0d\u662f\u6295\u8cc7\u7b56\u7565\u7684\u932f\uff0c\u53cd\u800c\u66f4\u61c9\u8abf\u6574\u69d3\u687f\u6bd4\u7387\uff0c\u52a0\u5165tail risk hedging\uff0c\u812b\u96e2\u4f4e\u6c34\u5e73\u7684\u570d\u7210\u4e92\u6284\uff0c\u5927\u81bd\u5730\u8a8d\u8b58\u4e16\u754c\u4e0a\u66f4\u591a\u66f4\u65b0\u66f4\u591a\u5143\u7684\u6295\u8cc7\u7b56\u7565\u3002\u7747\u5c11\u5572\u5df2\u77e5\u3001\u5df2\u8b58\u3001\u5df2\u7528\u7684\u6587\u7ae0\uff0c\u591a\u770b\u597d\u6df1\u3001\u592a\u96e3\u3001\u5514\u8b58\u7528\u7684\u555f\u767c\u6027\u6587\u7ae0\uff08\u898b\u4e0b\u9762\u5ef6\u4f38\u95b1\u8b80\uff09<\/span>\u3002<\/span><\/p>\n
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\u5ef6\u4f38\u95b1\u8b80\uff1a<\/span><\/strong><\/span><\/p>\n
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tail risk \u7684\u53e3\u7f69\uff1a<\/span><\/p>\n
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CAIA : A Comparison of Tail Risk Protection Strategies in the U.S. Market<\/a><\/p>\n
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MSCI : Tail Risk Hedging Is Never Free<\/a><\/p>\n
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JP Morgon : Tail hedging solutions for uncertain times<\/a><\/p>\n
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The economist : Is there a role for options insurance in equity portfolios?<\/a><\/p>\n
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\u6709tail risk hedging\uff0c\u5514\u9a5a<\/span><\/strong><\/p>\n
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