Читать книгу Alternative Investments - Black Keith H. - Страница 45

This section examines some extensions to the mean-variance approach that have been developed to address some of the issues raised in Chapter 1. First, it discusses how illiquidity can be incorporated into the mean-variance model. Using a measure of illiquidity, we can adjust the model to penalize those assets that are illiquid. That is, everything else being equal, portfolio managers would prefer to invest in liquid assets; therefore, illiquid assets will be considered only if they provide some additional benefit. Second, we discuss how limits on factor exposures can be incorporated into a mean-variance approach. Finally, we address how estimation risk can be taken into account. Estimation risk refers to the risk that the estimated parameters that are used as inputs in the mean-variance approach could be different from the true values of those parameters. For example, in Chapter 1 of this book, expected returns on asset classes were shown to be quite inaccurate if a long series of data was not available. A method for incorporating the risk of misestimating the mean return of an asset class will also be discussed.