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以往关于资产组合选择的研究大多假设市场上存在无风险资产,但无风险资产实际上是不存在的.当不存在无风险资产时,假设投资者的效用定义在消费上,消费一直是投资者财富的一个固定比例,投资者的最优资产组合由两部分组成:短视的资产组合和对冲组合.假设只有股票和债券两种风险资产,当股票和债券的风险具有负的相关性时,投资者现在会消费更多,同时也会在股票上投资更多;两者正相关时,投资者无法降低风险,会减持股票并降低当前消费;两者不相关时,投资者持有的股票权重和存在无风险资产时一样.最后,还推导出了多种资产情况下最优消费和资产组合的解析表达式.
In the past, most researches on portfolio selection assumed that risk-free assets exist in the market, but risk-free assets actually do not exist.When there are no risk-free assets, it is assumed that the utility of investors is defined as consumption and consumption has always been an investor A fixed proportion of wealth, the optimal portfolio of investors consists of two parts: the short-sighted portfolio and the hedging portfolio. Suppose there are only two types of risk assets such as stocks and bonds. When the risks of stocks and bonds are negatively correlated, the investment Now consume more and also invest more in the stock; when the two are correlated, the investor can not reduce the risk, the stock will be reduced and the current consumption will be reduced. When the two are not relevant, the stock held by the investor The same weight as the existence of risk-free assets.Finally, an analytical expression of the optimal consumption and portfolio of assets under various kinds of assets is also deduced.