跳—扩散环境下动态资产配置问题研究

发布时间：2018-04-03 00:24

本文选题：跳扩散过程　切入点：资产配置　出处：《安徽工程大学》2013年硕士论文

【摘要】：关于跳扩散环境下动态资产配置问题,国内外学者已经进行了相关的研究,本文在前人的基础上,结合我国金融市场实际数据,在跳扩散环境下考虑红利支付,通货膨胀因素,探讨了跳扩散过程,红利支付,通胀三种不同因素对投资者投资决策的影响。首先,本文利用统计软件对我国A股市场1990年12月19日到2012年12月31日大盘日收盘指数对数收益率序列进行分析,得到我国股票市场收益率序列的分布特征,证实其尖峰厚尾的非正态性质,即存在跳的可能,同时还通过高阶矩和参数的关系给出了跳参数的估计方法。其次,我们考虑了资产收益带有红利支付,在随机投资环境下,投资者在投资期限内效用最大化其终端财富,利用HJB方程推导最优配置策略,得出最优动态资产配置策略的近似解。并用数值分析说明了跳和红利支付对投资者资产配置的影响,结论指出随着跳大小和跳波动率的增大,投资者的配置头寸都会随之减少,红利支付能够增加投资者的配置头寸。最后,在跳扩散环境下引入通胀因素。首先利用Ito公式推导考虑通胀的消费篮子价格动力学方程,然后在由通胀折现的终端财富预期效用最大化标准下,同样利用HJB方程推导最优投资策略,得出投资者最优动态资产配置策略。并定量分析了跳和通胀因素对投资者最优资产配置策略的影响,给出了比较详细的经济解释,结果比较贴近实际,为投资者的投资行为提供新了的视角,具有一定的经济参考价值。
[Abstract]:On the dynamic asset allocation in the jump-diffusion environment, domestic and foreign scholars have carried out relevant research. Based on the previous research, this paper considers the dividend payment and inflation factors in the jump-diffusion environment, combined with the actual data of China's financial market.The paper discusses the influence of three different factors on investors' investment decision: jump diffusion process, dividend payment and inflation.Firstly, this paper uses statistical software to analyze the logarithmic return sequence of the daily closing index from December 19, 1990 to December 31, 2012 in China's A-share market, and obtains the distribution characteristics of the return series in China's stock market.It is proved that the non-normal property of the thick tail of the spike is the possibility of hopping, and the estimation method of the hopping parameter is also given by the relation between the higher-order moments and the parameters.Secondly, we consider the asset income with dividend payment. In the random investment environment, the investors maximize their terminal wealth within the investment period, and derive the optimal allocation strategy by using HJB equation.The approximate solution of optimal dynamic asset allocation strategy is obtained.The effect of jump and dividend payment on the asset allocation of investors is explained by numerical analysis. It is concluded that with the increase of jump size and jump volatility, the allocation positions of investors will decrease, and dividend payments can increase the allocation positions of investors.Finally, the inflation factor is introduced in the jump-diffusion environment.Firstly, the dynamic equation of consumer basket price considering inflation is derived by using Ito formula. Then, under the criterion of maximizing expected utility of terminal wealth discounted by inflation, the optimal investment strategy is also derived by using HJB equation.The optimal dynamic asset allocation strategy for investors is obtained.The paper also quantitatively analyzes the impact of jump and inflation factors on investors' optimal asset allocation strategy, and gives a more detailed economic explanation. The results are closer to reality and provide a new perspective for investors' investment behavior.It has certain economic reference value.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;O211.6

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