资产收益可预测的动态资产配置
发布时间：2019-01-09 16:23
【摘要】：在资产收益可预测的金融市场中,研究了连续时间最优动态资产配置问题.利用分离定理,带有预测变量的优化问题被分解为一个参数推断问题和一个随机优化问题,利用拉格朗日对偶方法和动态规划方法求得了最优策略和有效前沿.结果表明,预测变量带来的估计误差和投资机会集合时变性都会对最优策略和有效前沿产生显著影响.
[Abstract]:In financial markets with predictable asset returns, the optimal dynamic asset allocation problem with continuous time is studied. By using the separation theorem, the optimization problem with predictive variables is decomposed into a parameter inference problem and a stochastic optimization problem. The optimal strategy and effective frontier are obtained by using Lagrangian duality method and dynamic programming method. The results show that both the estimation error caused by the prediction variables and the time variability of the investment opportunity set have a significant impact on the optimal strategy and the efficient frontier.
【作者单位】： 广东金融学院经济贸易系;
【基金】：教育部人文社会科学研究青年基金资助项目(13YJCZH247) 广东省哲学社会科学规划项目(GD12XYJ06) 广东金融学院(12XJ02-10)资助课题
【分类号】：F224;F830.91
[Abstract]:In financial markets with predictable asset returns, the optimal dynamic asset allocation problem with continuous time is studied. By using the separation theorem, the optimization problem with predictive variables is decomposed into a parameter inference problem and a stochastic optimization problem. The optimal strategy and effective frontier are obtained by using Lagrangian duality method and dynamic programming method. The results show that both the estimation error caused by the prediction variables and the time variability of the investment opportunity set have a significant impact on the optimal strategy and the efficient frontier.
【作者单位】： 广东金融学院经济贸易系;
【基金】：教育部人文社会科学研究青年基金资助项目(13YJCZH247) 广东省哲学社会科学规划项目(GD12XYJ06) 广东金融学院(12XJ02-10)资助课题
【分类号】：F224;F830.91
【参考文献】
相关期刊论文 前6条
1 范利民;陈浩武;;时变性投资机会条件下的战略资产配置决策:理论与中国实证[J];管理工程学报;2010年03期
2 秦泰;刘红忠;;超额收益的可预测性与资产配置——基于中国股票市场数据的研究[J];复旦学报(社会科学版);2013年06期
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