随机利率下最优投资策略及其在险价值研究  

A Study on Optimal Strategies and VaR with Stochastic Interest Rate

作　　者：李晗虹[1] 吴启权[2] 

机构地区：[1]大连商品交易所博士后研究工作站,辽宁大连116023 [2]天津大学金融工程研究中心,天津300072

出　　处：《证券市场导报》2008年第6期35-40,47,共7页Securities Market Herald

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

摘　　要：Canner难题是指通常的投资建议和两基金分离定理间存在较大的差异。以股票、现金和债券作为交易资产,采用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研究,得出最优资产配置方案。通过对该方案实例分析,对投资建议和两基金分离定理间的差异给出合理的解释,并指出投资期限和风险厌恶水平对投资策略选择有重大影响。最后通过蒙特卡洛模拟对不同投资策略下期末组合的VaR分布进行评估和分析。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 affme term structure model. Solutions are given and the economic significations are analyzed by theoretical 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. At the last of this paper, a Monte Carlo Simulation to estimate the VaR distribution of different strategies is shown.

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 在险价值 

分 类 号：F830.91[经济管理—金融学]