预测
預測
예측
Forecasting
2011年
2期
62~65
,共null页
动态资产组合 模型不确定性 随机控制 贝叶斯分析
動態資產組閤 模型不確定性 隨機控製 貝葉斯分析
동태자산조합 모형불학정성 수궤공제 패협사분석
dynamic portfolio; model uncertainty; stochastic control; Bayesian analysis
假设资产收益服从随机扩散过程,运用随机控制方法获得动态资产组合的封闭解,并以上证综指为样本,实证研究模型参数不确定性与动态资产组合的关系。结果表明,模型参数不确定性导致资产组合存在对冲需求,并与风险规避程度、投资期、信息量有关;与独立的正态过程相比,模型参数不确定性效应可提升一阶自回归过程下动态资产组合的稳健性;动态资产组合问题只有在其投资期末才等价于静态资产组合问题。
假設資產收益服從隨機擴散過程,運用隨機控製方法穫得動態資產組閤的封閉解,併以上證綜指為樣本,實證研究模型參數不確定性與動態資產組閤的關繫。結果錶明,模型參數不確定性導緻資產組閤存在對遲需求,併與風險規避程度、投資期、信息量有關;與獨立的正態過程相比,模型參數不確定性效應可提升一階自迴歸過程下動態資產組閤的穩健性;動態資產組閤問題隻有在其投資期末纔等價于靜態資產組閤問題。
가설자산수익복종수궤확산과정,운용수궤공제방법획득동태자산조합적봉폐해,병이상증종지위양본,실증연구모형삼수불학정성여동태자산조합적관계。결과표명,모형삼수불학정성도치자산조합존재대충수구,병여풍험규피정도、투자기、신식량유관;여독립적정태과정상비,모형삼수불학정성효응가제승일계자회귀과정하동태자산조합적은건성;동태자산조합문제지유재기투자기말재등개우정태자산조합문제。
Assuming that asset return follows stochastic diffusion process,this paper uses method of stochastic control to obtain the closed-form solution of dynamic portfolio,and studies the relation between model parameters＇ uncertainty and dynamic portfolio based on the sample of Shanghai Exchange Composite Index.Results show,model parameters＇ uncertainty results in the hedging demand of portfolio,which is related with the degree of risk aversion,investment horizon,and the quantity of information;comparing with the identical normal process,it can enhance the robustness of dynamic portfolio under one-order autoregressive process;the problem of dynamic portfolio equals to that of static portfolio only at the end of investment horizon.
