参数不确定性下资产配置的动态均值-方差模型  

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

作　　者：李仲飞[1] 袁子甲[1] 

机构地区：[1]中山大学岭南(大学)学院,广州510275

出　　处：《管理科学学报》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)

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.

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 

分 类 号：F830.9[经济管理—金融学]