基于通货膨胀风险和Heston随机波动率下的最优资产配置

发布时间：2018-07-03 00:48

本文选题：均值-方差准则 + 通胀指数债券　；参考：《运筹与管理》2017年01期

【摘要】：本文考虑了基于均值-方差准则下的连续时间投资组合选择问题。为了对冲市场中的利率风险和通货膨胀风险,假定市场上存在可供交易的零息名义债券和零息通货膨胀指数债券。另外,投资者还可以投资一个价格具有Heston随机波动率的风险资产。首先建立了基于均值-方差框架下的最优投资组合问题,然后将原问题进行转换,利用随机动态规划方法和对偶Lagrangian原理,获得了均值-方差准则下的有效投资策略以及有效前沿的解析表达形式,最后对相关参数的敏感性进行了分析。
[Abstract]:In this paper, the continuous time portfolio selection problem based on mean-variance criterion is considered. In order to hedge the interest rate risk and inflation risk in the market, it is assumed that there are zero interest rate nominal bonds and zero interest rate inflation index bonds that can be traded in the market. In addition, investors can also invest in a price with Heston random volatility of risky assets. Firstly, the optimal portfolio problem based on mean-variance framework is established, then the original problem is transformed, and the stochastic dynamic programming method and dual Lagrangian principle are used. The efficient investment strategy and the analytical expression of the efficient frontier under the mean variance criterion are obtained. Finally, the sensitivity of the related parameters is analyzed.
【作者单位】：兰州城市学院数学学院;广东财经大学金融学院;广东金融学院经济贸易系;
【基金】：甘肃省城市发展研究院资助项目(2014-GSCFY-KJ02) 教育部人文社会科学基金资助项目(13YJCZH247) 广东省哲学社会科学基金资助项目(GD12XYJ06) 甘肃省高等学校科研项目(2013A-097) 兰州城市学院重点学科立项资助
【分类号】：F830.59

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