CAJ | 학술논문

研究资产价格带跳环境下红利支付对投资者资产配置的影响,投资者将其财富在风险资产和无风险资产中进行分配,在终端财富预期效用最大化标准下,利用动态规划原理建立的 HJB 方程推导最优配置策略,并得到最优动态资产配置策略的近似解.最后通过数值模拟,分析了跳和红利支付对投资者最优配置策略的影响.结果表明在跳发生的情况下,不管跳的大小和方向如何,投资者都会减少其在风险资产中的配置头寸,同时带有红利支付的资产比不带红利支付的资产对投资者更具吸引力.
연구자산개격대도배경하홍리지부대투자자자산배치적영향,투자자장기재부재풍험자산화무풍험자산중진행분배,재종단재부예기효용최대화표준하,이용동태규화원리건립적 HJB 방정추도최우배치책략,병득도최우동태자산배치책략적근사해.최후통과수치모의,분석료도화홍리지부대투자자최우배치책략적영향.결과표명재도발생적정황하,불관도적대소화방향여하,투자자도회감소기재풍험자산중적배치두촌,동시대유홍리지부적자산비불대홍리지부적자산대투자자경구흡인력.
The impacts of the dividend on asset allocations of an investor under an environment with jump asset prices are studied. An investor allocates his wealth to the risky asset and the riskless asset. Under maximizing the expected utility of the terminal wealth, by using HJB equation derived by the dynamic programming principle, the optimal allocation strategy is provided, and an approximate solution of the optimal dynamic asset allocation is obtained. Finally, we analyze the impacts of jump and dividend on the optimal allocation strategy of an investor through the numerical simulation. The results indicate that when a jump happens, no matter what size and direction of a jump are, the investor will reduce the position of risky asset, and the assets with dividend are more attractive to investors than the ones without dividend.