论文部分内容阅读
不确定条件下的资产配置问题无论对于学术研究还是投资行为都具有重大的理论和实际意义。本文选取广义范围上的现金、股票、债券作为投资者进行资产配置的产品,在CRRA(Constant Relative Risk Aversion)和HARA(Hyperbolic Absolute Risk Aversion)两种偏好假设下,分别求出了投资者效用最大化时的最优财富以及最优资产组合中各资产的权重,并比较分析了两种偏好假设下通货膨胀、风险偏好、投资期限三种因素对资产配置的影响。研究结论表明:通货膨胀会影响股票和债券的风险溢价,进而影响最优资产组合中各资产的权重;股票的权重不会受投资期限的影响,在通货膨胀率和风险偏好不变时,其值始终为一常数,但债券和现金的权重则由投资期限、通货膨胀和风险偏好共同决定;此外,在CRRA和HARA偏好假设下,以上三种因素对资产配置的影响存在较大差异,特别是在HARA框架下存在买空行为。
The problem of asset allocation under uncertain conditions has great theoretical and practical significance both for academic research and investment behavior. In this paper, we select the cash, stock and bond in the broad sense as the product of the investors’ asset allocation. Under the two preference assumptions of CRRA and Hyperbolic Absolute Risk Aversion, The optimal wealth, the weight of each asset in the optimal portfolio, and comparatively analyzed the impact of three factors of inflation, risk preference and investment deadline on asset allocation under the two preference hypotheses. The conclusion shows that inflation affects the risk premium of stocks and bonds, and then affects the weights of the assets in the optimal portfolio. The weight of the stocks will not be affected by the investment term. When the inflation rate and risk appetite remain unchanged, The value is always a constant, but the weight of bond and cash are determined by the investment term, inflation and risk appetite. In addition, under the assumption of CRRA and HARA preference, there are big differences in the impact of the above three factors on asset allocation. In particular, There is a buy-out behavior under the HARA framework.