证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2008年
6期
35~40
,共null页
Canner难题 两基金分离定理 通货膨胀 仿射利率期限结构模型 在险价值
Canner難題 兩基金分離定理 通貨膨脹 倣射利率期限結構模型 在險價值
Canner난제 량기금분리정리 통화팽창 방사리솔기한결구모형 재험개치
Canner Puzzle, the Separation Theorem, inflation, affine term structure of interest rates, VaR
Cannerg难题是指通常的投资建议和两基金分离定理间存在较大的差异。以股票、现金和债券作为交易资产，采用由通货膨胀和实际利率定义的仿射利率期限结构模型，对最优资产配置问题进行研究，得出最优资产配置方案。通过对该方案实例分析，对投资建议和两基金分离定理间的差异给出合理的解释，并指出投资期限和风险厌恶水平对投资策略选择有重大影响。最后通过蒙特卡洛模拟对不同投资策略下期末组合的VaR分布进行评估和分析。
Cannerg難題是指通常的投資建議和兩基金分離定理間存在較大的差異。以股票、現金和債券作為交易資產，採用由通貨膨脹和實際利率定義的倣射利率期限結構模型，對最優資產配置問題進行研究，得齣最優資產配置方案。通過對該方案實例分析，對投資建議和兩基金分離定理間的差異給齣閤理的解釋，併指齣投資期限和風險厭噁水平對投資策略選擇有重大影響。最後通過矇特卡洛模擬對不同投資策略下期末組閤的VaR分佈進行評估和分析。
Cannerg난제시지통상적투자건의화량기금분리정리간존재교대적차이。이고표、현금화채권작위교역자산，채용유통화팽창화실제리솔정의적방사리솔기한결구모형，대최우자산배치문제진행연구，득출최우자산배치방안。통과대해방안실례분석，대투자건의화량기금분리정리간적차이급출합리적해석，병지출투자기한화풍험염악수평대투자책략선택유중대영향。최후통과몽특잡락모의대불동투자책략하기말조합적VaR분포진행평고화분석。
The advices of popular investment advisors are apparently inconsistent with the Separation Theorem; it is the so-called Canner Puzzle. Considering a market with a stock, cash and nominal bonds, this paper provides the optimal asset allocation strategies in nominal wealth. Uncertainty about future interest rates is represented by the affme term structure model. Solutions are given and the economic significations are analyzed by theoretical 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. At the last of this paper, a Monte Carlo Simulation to estimate the VaR distribution of different strategies is shown.
