随机长短期利率和通货膨胀下的资产配置问题研究  

On the Asset Allocation Problem under Inflation,Short and Long Stochastic Interest Rates Risks

作　　者：李晗虹[1] 王春峰[1] 吴启权[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《北京理工大学学报（社会科学版）》2005年第6期30-33,共4页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家杰出青年科学基金(70225002);教育部优秀青年教师教学科研奖励基金共同资助

摘　　要：通货膨胀可以被认为是一种背景风险,通常只对财富的增长率有影响,而不会改变投资财富的数量。现有的资产管理文献几乎大部分都没有考虑通货膨胀问题。但是当投资期限为中长期时,通货膨胀风险及规避问题是不容忽视的,直到近期人们才真正开始关注通货膨胀风险。为了求解方便,在利率期限结构选择中通常选择的单因子模型具有一个严重的缺陷,即不同到期期限的债券价格是完全相关的,这与事实不符。本文考虑了银行帐户、两种债券和股票这几种可以交易的资产,采用了Hull&White两因素利率期限结构模型,对以通货膨胀和长、短期利率为主要影响因素的资产配置问题进行了研究,最后得出最优的资产配置方案,并对该方案的经济含义进行了分析。Inflation can be considered as a background risk affecting only the wealth growth rate without altering the amount of wealth that can be invested. Almost all the literature about the optimal portfolio rules does not consider the inflation rate. The interest towards the inflation risk has risen only in recent period. Nevertheless, when a long （and even medium） period of time is considered, the inflation risk and its hedging cannot be neglected. There is a defect for the one factor model of interest rates that the prices of the bonds with different but correlative maturities. A bank account, nominal bonds, and stocks can be traded. This paper provides an optimal asset allocation strategy with interest rate risk and inflation risk. The Hull ＆ White two-factor model represents uncertainty about future interest rates.

关 键 词：通货膨胀风险 背荣风险 两因素利率期限结构模型 战略资产配置 

分 类 号：F8[经济管理]