仿射期限结构下资产混合策略  

On Asset-Mix Strategies with Affine Term Structure of Interest Rate

作　　者：吴启权[1] 王春峰[1] 李晗虹[2] 

机构地区：[1]天津大学金融工程研究中心,天津300072 [2]北京大学经济学院,北京100082

出　　处：《系统工程》2007年第4期78-82,共5页Systems Engineering

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

摘　　要：通常的投资建议和两基金分离定理之间存在较大差异,这就是著名的Canner难题。以股票、银行账户和债券作为可以交易的资产,采用了由通货膨胀和实际利率定义的仿射利率期限结构模型,对最优资产配置问题进行了研究,得出最优的资产配置方案。通过对该方案实例分析,对投资建议和两基金分离定理之的差异给出了合理的解释,分析指出,投资期限和风险厌恶水平对投资策略的选择有很重要的影响。The advices of popular investment advisors are apparently inconsistent with the Separation Theorem; it is the so-called Canner Puzzle. Considering a market with a stock, cash and nominal bonds, this paper provides the optimal asset allocation strategies in nominal wealth. Uncertainty about future interest rates is represented by the affine term structure model . The solutions is given and the economic significations are analyzed by theoretic and illustrative calculations. The rational explications of the diversities between the popular investment advices and the Separation Theorem are given. The analysis points to the importance of considering investors＇ time horizons and level of risk aversion in analyzing optimal portfolio policies.

关 键 词：Canner难题 两基金分离定理 通货膨胀 仿射利率期限结构模型 

分 类 号：F830[经济管理—金融学]