CAJ | 학술논문

通常的投资建议和两基金分离定理之间存在较大差异，这就是著名的Canner难题。以银行帐户、两种债券和股票作为可以交易的资产，采用了Hull＆White两因素利率期限结构模型，对以通货膨胀为背芾风险和长、短期利率为主要影响因素的资产配置问题进行了研究，并得出最优的资产配置方案：通过对该方案的经济含义进行理论分析和实例分析，对投资建议和两基金分离定理的差异给出了合理的解释，分析指出，投资期限和风险厌恶水平对投资策略的选择有很重要的影响。最后对不同风险厌恶水平的长期投资者给出了一些投资建议。
통상적투자건의화량기금분리정리지간존재교대차이，저취시저명적Canner난제。이은행장호、량충채권화고표작위가이교역적자산，채용료Hull＆White량인소리솔기한결구모형，대이통화팽창위배비풍험화장、단기리솔위주요영향인소적자산배치문제진행료연구，병득출최우적자산배치방안：통과대해방안적경제함의진행이론분석화실례분석，대투자건의화량기금분리정리적차이급출료합리적해석，분석지출，투자기한화풍험염악수평대투자책략적선택유흔중요적영향。최후대불동풍험염악수평적장기투자자급출료일사투자건의。
The advices of popular investment advisors are apparently inconsistent with the separation theorem; it is the so-called Canner puzzle. A bank account, nominal bonds, and stocks can be traded, this paper provides the optimal asset allocation strategy with interest rate risk and inflation risk, which can be seem as a background risk . Uncertainty about future interest rates is represented by the Hull＆White two-factor model . The .solutions are given and the economic significations are analyzed by theoretics and illustrative calculations. The rational explications of the diversities between the popular investment advices and the separation theorem are given. The analysis points to the importance of considering investors＇ time horizons and level of risk aversion in analyzing optimal portfolio policies. Some advices to the long-term investors with different level of risk aversion are given.