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在不完全信息下,研究了风险资产收益前两阶矩的参数不确定性对动态资产组合选择的影响.在连续时间下假设资产的价格服从随机扩散过程,引入参数不确定性,利用随机动态规划方法推导出风险资产最优配置的封闭解,使投资者的终期财富期望幂效用最大;在离散时间下假设风险资产的连续复合月收益率服从独立同分布的正态分布,通过贝叶斯学习准则,以上证综合指数不同区间段的两个样本做实证研究.研究表明,当投资者的风险规避程度大于(小于)对数效用时,参数不确定性将导致负(正)的投资期效应;当投资者在估计过程中运用较多的历史数据、或者风险规避程度增加时,参数不确定性的影响将减弱;收益一阶矩的不确定性影响较其二阶矩强.研究突出了参数不确定性在动态资产组合选择过程中的重要性.
Under incomplete information, the influence of parameter uncertainty of the first two moments of return on risk assets on dynamic portfolio selection is studied.Under the continuous time, it is assumed that the price of assets follows the process of stochastic diffusion, the parameter uncertainty is introduced and the stochastic dynamics The planning method deduces the closed solution to the optimal allocation of risky assets and maximizes the final utility of the wealth of investors. In the discrete time, the continuous compound monthly returns of risky assets are subject to the independent and identically distributed normal distribution, Sri Lankan University, Seoul, Korea 2. The study shows that when investors’ risk aversion is greater than (less than) logarithmic utility, parameter uncertainty will lead to negative (positive) investment Period effect.When investors use more historical data in the estimation process or the degree of risk aversion increases, the influence of the parameter uncertainty will be weakened.The uncertainty of the first moment of return has more influence than the second. Highlighting the importance of parameter uncertainty in the process of dynamic portfolio selection.