CAJ | 학술논문

对于单期的投资者而言,无违约风险的固定收益证券被枧为无风险资产.这是因为固定收益证券的收益率在投资的初期就能确定.然而在考虑长期的投资时,投资者可以调整资产配置,固定收益证券也将面临再投资的利率波动风险,因此不能再被视为无风险资产.本文在一类特殊的"习惯形成"效用函数的框架下讨论长期资产配置.在一系列为简化问题而作的假设之下,本文推导出了真实利率波动对风险资产配置权重的影响,并且为计算实际长期资产配置的最优比例提供了理论依据和算法.
대우단기적투자자이언,무위약풍험적고정수익증권피견위무풍험자산.저시인위고정수익증권적수익솔재투자적초기취능학정.연이재고필장기적투자시,투자자가이조정자산배치,고정수익증권야장면림재투자적리솔파동풍험,인차불능재피시위무풍험자산.본문재일류특수적"습관형성"효용함수적광가하토론장기자산배치.재일계렬위간화문제이작적가설지하,본문추도출료진실리솔파동대풍험자산배치권중적영향,병차위계산실제장기자산배치적최우비례제공료이론의거화산법.
For one-period investors, fixed income securities without default arerisk-free asset, because the return of these securities can be determined at the beginning of investment period. However, considering long-term investment, investors are able to adjust their portfolio since fixed income securities would have risk of interest rate volatil-ities from reinvestment. So fixed income securities are no longer risk-free. This paper discusses long-term asset allocation under a frame of special "habit formation" utility function. Under some assumption for simplicities, we derive the influence of real interest rate volatilities on weight of risky asset allocation, and provide theoretical basis and algorithm for calculating real optimal long-term asset allocation.