参数不确定性下资产配置的动态均值-方差模型被引量：13

A dynamic mean-variance model of portfolio selection under parameter uncertainty

下载PDF

导出

摘要现有关于资产配置的动态均值-方差模型的研究均假设投资者准确知道与资产收益率相关的参数,从而忽略了参数不确定性对投资决策的影响.本文研究引入参数不确定性和贝叶斯学习时的动态均值-方差模型,使用鞅方法求解得出最优投资策略的解析表达式,并导出了均值-方差有效边界.在此基础上,利用中国证券市场的实际数据进行了实证分析,结果表明参数不确定性对最优投资策略以及投资效果有较大的影响. The standard mean-variance portfolio selection model assumes that investors exactly know the security parameters, neglecting the effect of parameter uncertainty on portfolio selection. This paper investigates a continuous-time mean-variance portfolio selection problem under parameter uncertainty and Bayesian learning. The problem is solved by using a martingale approach, and the optimal investment strategy and the mean-variance efficient frontier are derived in closed form. Based on these results, we give an empirical analysis with data from Chinese security markets. The analysis shows that parameter uncertainty has a great effect on the optimal investment strategy and the investment performance.

作者李仲飞袁子甲

机构地区中山大学岭南(大学)学院

出处《管理科学学报》 CSSCI 北大核心 2010年第12期1-9,共9页 Journal of Management Sciences in China

基金教育部人文社会科学基金研究规划基金资助项目(07JA630031) 国家杰出青年科学基金资助项目(70825002)

关键词参数不确定性均值-方差模型动态投资组合选择贝叶斯学习有效边界 parameter uncertainty mean-variance model dynamic portfolio selection Bayesian learning efficient frontier

分类号 F830.9 [经济管理—金融学]

引文网络
相关文献

参考文献25

1Markowitz H.Portfolio selection[J].The Journal of Finance,1952,7:77-91.
2Li D,Ng W L.Optimal dynamic portfolio selection:Multi-period mean-variance formulation[J].Mathematical Finance,2000,10(3):387-406.
3Bajeux-Besnainou I,Portait R.Dynamic asset allocation in a mean-variance framework[J].Management Science,1998,44:79-95.
4Zhou X Y,Li D.Continuous-time mean-variance portfolio selection:A stochastic LQ framework[J].Applied Mathematics and Optimization,2000,42:19-33.
5Li X,Zhou X Y,Lim A E B.Dynamic mean-variance portfolio selection no-shorting constraints[J].SIAM J.Control Optim.,2001,40:1540-1555.
6Bielecki T R,Jin H Q,Pliska S R,Zhou X Y.Continuous-time mean-variance portfolioselection with bankruptcy prohibition[J].Mathematical Finance,2005,15(2):213-244.
7Xie S X,Li Z F,Wang S Y.Continuous-time portfolio selection with liability:Mean-variance model and stochastic LQ approach[J].Insurance:Mathematics and Economics,2008,42:943-953.
8Bawa V S,Brown S,Klein R W.Estimation Risk and Optimal Portfolio Choice[M].Amsterdam:North-Holland,1979.
9Gennotte G.Optimal portfolio choice under incomplete information[J].The Journal of Finance,1986,41:733-746.
10Dothan M U,Feldman D.Equilibrium interest rates and multiperiod bonds in a partially observable economy[J].The Journal of Finance,1986,41:369-382.

二级参考文献47

1卢方元.中国股市收益率分布特征研究[J].中国管理科学,2004,12(6):18-22. 被引量：22
2Merton R C. Optimal consumption and portfolio rules in a continuous-time mode[J]. Journal of Economic Theory, 1971,3:373-413.
3Karatzas I, Shreve S E. Methods of mathematical finance[M]. New York: Springer-Verlag, 1998.
4Monique J P, Monique P. Optimal portfolio for a small investor in a market model with discontinuous prices[J]. Appl Math Optim, 1990,22:287-310.
5Peter Lakner. Utility maximization with partial information[J]. Stochastic Processes and their Application,1995,56:247-273.
6Peter Lakner. Optimal trading strategy for an investor: the case of partial information[J]. Stochastic Process and their Application, 1998,76:77-97.
7Gennote. Optimal portfolio choice under information[J]. Journal of Finance, 1986,41:733-746.
8Ikeda N, Watamabe s. Stochastic differential equation and diffusion processes[M]. New York: North Holland Mathematical Library, 1981.
9Bremaud P. Point process and queues[M]. New York: Springer-Verlag, 1981.
10Williams J T.Capital asset prices with heterogeneous beliefs[J].Journal of Financial Economics,1977,5(2):219-239.