摘要
在Black-Scholes型市场中引入机会收益(Earning-at-Chance,EaC)和条件在险资本(Conditional Cap-ital-at-Risk,CCaR)的风险概念,建立了机会收益-条件在险资本(EaC-CCaR)动态投资决策模型:minπ∈RdCCaR(x,π,T)s.t.R=E[Xπ(T)ρ1-β(x,π,T)]μ.其中x是初始财富,π(t)=(π1(t),…,πn(t))′∈Rd为可行的风险资产投资策略,Xπ(T)为计划期末的财富水平,CCaR为投资期末的条件在险资本,μxexp(rT)是事先给定的某个"好机会"情况下的期望财富水平,ρ1-β(x,π,T)是期末财富Xπ(T)的1-β下侧分位数。通过对该模型的讨论,得到了最优常数再调整策略的显式表达式以及投资组合的有效前沿,阐明的金融学涵义包括:在EaC-CCaR投资组合模型下,风险中性市场中的最优常数再调整投资策略是纯债券投资策略,而风险非中性市场中的最优常数再调整投资策略蕴涵了两基金分离定理的成立。另外,β=1时的均值-条件风险资本(M-CCaR)模型minπ∈RdCCaR(x,π,T)s.t.R=E[Xπ(T)]μ.正是上述模型的特款。
In Black-Scholes type financial markets, the return concept, Earning-at-Chance （EaC）, and the risk concept, Con- ditional Capital-at-Risk （CCaR）, are proposed and the EaC-CCaR dynamic portfolio selection model is established as follows.minπ∈Rd CCaR（X,π,T）s.t.R=E[Xπ（T）≥（p1）-β（x,π,T）]≥μwhere x is the initial wealth for investment, π（t）=（π1（t）,…,πn（t））∈R^d the process of feasible portfolio of risk assets, X^π （T） the terminal wealth, CCaR the Conditional Capital-at-Risk of the terminal wealth, μ≥x exp（rT）the expected level of the terminal wealth under some good chances, ρ1-β（x,π, T） the 1 -β lower quantile of the terminal wealth. The explicit strategy for the model and the effective frontier are obtained in terms of the optimal constant rebalance strategy. The financial interpretations of the results include that, under EaC-CCaR portfolio selection model, the optimal constant rebalance strategy is pure bond investment strategy in neutral risk markets, and the optimal constant rebalance strategy implies that two fund separation holds in non-neutral risk markets. In addition, the M-CCaR model minπ∈Rd CCaR（x,π,T）s.t.R=E[Xπ（T）]≥μ is a special case of the above model as β= 1.
出处
《衡阳师范学院学报》
2007年第3期7-12,共6页
Journal of Hengyang Normal University
基金
广东商学院博士科研启动项目
关键词
机会收益
条件在险资本
动态投资决策
常数再调整策略
Earning-at-Chance （EaC）
Conditional Capital-at-Risk （CCaR）
dynamic investment strategy
constantrebalance strategy
