定期定額 - 投資
By Christine
at 2021-03-06T15:06
at 2021-03-06T15:06
Table of Contents
Blog post:
https://daze68.blogspot.com/2021/03/dca-and-mean-reversion.html
======
所謂定期定額(Dollar cost averaging)
是指當投資人有大筆資金要投資時
不選擇單筆投入(lump sum)
而是選擇分成幾筆,按事先固定的時間投入(註)
要選擇定期定額或是單筆投入是個歷久不衰的話題
雖然學術界三、四十年前似乎對此早有定論
但定期定額這個想法在一般投資人間
仍然頗受歡迎
假設股票風險溢酬為正
且股票回報滿足獨立同分布(Independent and identically distributed)
單筆投入早在多年前就已被證明回報率優於定期定額
然而,現實世界的經驗並不完全支持這些前提
Brennan(2005)指出 (基於回測與模擬,不是基於嚴格數學證明)
假設股票回報存在相當程度的均值回歸(mean reversion)
則定期定額可能會勝過單筆投入
(Brennan衡量"勝過"的方式是基於utility function的變體方式)
再者,他觀察到相對於全市場
對單一股票的定期定額比較容易勝過同一股票的單筆投資
至於單一股票是否較全市場有較高的均值回歸則沒有被探討
如果一定要買個股的話
定期定額或許可行?
至於理性投資人是否會選擇大舉投資個股,另當別論
Brennan在論文中也指出即使採用定期定額方式購買個股,其效用也低於投資全市場
話說回來
股票市場均值回歸的程度是個實務問題
過去經驗只能提供對未來的部分預測
至於預測正確與否只能事後檢驗
另外,即使假設定期定額或許部分有效
最佳的期數與時間間隔也不見得能事先決定
======
其他可能選擇定期定額的理由,可能包括:
衡量風險的方式並非基於波動與回報
借款受限的投資人
行為經濟學
認知偏誤
etc.
======
註:除非假設投資人能用無風險利率無限制借貸,否則因為每個月薪水只有這麼多所以只
能分次投入並不是典型的DCA vs lump sum問題。
======
Reference:
Brennan, M. J., F. Li, and W. N. Torous (2005). Dollar cost averaging. Review
of Finance 9(4), 509–535.
--
You got to know when to hold 'em, know when to fold 'em, Know when to walk away and know when to run.
You never count your money when you're sittin' at the table. There'll be time enough for countin' when the dealin's done.
'Cause ev'ry hand's a winner and ev'ry hand's a loser, And the best that you can hope for is to die in your sleep."
now Ev'ry gambler knows that the secret to survivin' Is knowin' what to throw away and knowing what to keep.
--
https://daze68.blogspot.com/2021/03/dca-and-mean-reversion.html
======
所謂定期定額(Dollar cost averaging)
是指當投資人有大筆資金要投資時
不選擇單筆投入(lump sum)
而是選擇分成幾筆,按事先固定的時間投入(註)
要選擇定期定額或是單筆投入是個歷久不衰的話題
雖然學術界三、四十年前似乎對此早有定論
但定期定額這個想法在一般投資人間
仍然頗受歡迎
假設股票風險溢酬為正
且股票回報滿足獨立同分布(Independent and identically distributed)
單筆投入早在多年前就已被證明回報率優於定期定額
然而,現實世界的經驗並不完全支持這些前提
Brennan(2005)指出 (基於回測與模擬,不是基於嚴格數學證明)
假設股票回報存在相當程度的均值回歸(mean reversion)
則定期定額可能會勝過單筆投入
(Brennan衡量"勝過"的方式是基於utility function的變體方式)
再者,他觀察到相對於全市場
對單一股票的定期定額比較容易勝過同一股票的單筆投資
至於單一股票是否較全市場有較高的均值回歸則沒有被探討
如果一定要買個股的話
定期定額或許可行?
至於理性投資人是否會選擇大舉投資個股,另當別論
Brennan在論文中也指出即使採用定期定額方式購買個股,其效用也低於投資全市場
話說回來
股票市場均值回歸的程度是個實務問題
過去經驗只能提供對未來的部分預測
至於預測正確與否只能事後檢驗
另外,即使假設定期定額或許部分有效
最佳的期數與時間間隔也不見得能事先決定
======
其他可能選擇定期定額的理由,可能包括:
衡量風險的方式並非基於波動與回報
借款受限的投資人
行為經濟學
認知偏誤
etc.
======
註:除非假設投資人能用無風險利率無限制借貸,否則因為每個月薪水只有這麼多所以只
能分次投入並不是典型的DCA vs lump sum問題。
======
Reference:
Brennan, M. J., F. Li, and W. N. Torous (2005). Dollar cost averaging. Review
of Finance 9(4), 509–535.
--
You got to know when to hold 'em, know when to fold 'em, Know when to walk away and know when to run.
You never count your money when you're sittin' at the table. There'll be time enough for countin' when the dealin's done.
'Cause ev'ry hand's a winner and ev'ry hand's a loser, And the best that you can hope for is to die in your sleep."
now Ev'ry gambler knows that the secret to survivin' Is knowin' what to throw away and knowing what to keep.
--
Tags:
投資
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