资产收益可预测的动态资产配置  

DYNAMIC ASSET ALLOCATION WITH PREDICTABLE ASSET RETURN

作　　者：张玲[1] 

机构地区：[1]广东金融学院经济贸易系,广州510521

出　　处：《系统科学与数学》2014年第5期534-549,共16页Journal of Systems Science and Mathematical Sciences

基　　金：教育部人文社会科学研究青年基金资助项目(13YJCZH247);广东省哲学社会科学规划项目(GD12XYJ06);广东金融学院(12XJ02-10)资助课题

摘　　要：在资产收益可预测的金融市场中,研究了连续时间最优动态资产配置问题.利用分离定理,带有预测变量的优化问题被分解为一个参数推断问题和一个随机优化问题,利用拉格朗日对偶方法和动态规划方法求得了最优策略和有效前沿.结果表明,预测变量带来的估计误差和投资机会集合时变性都会对最优策略和有效前沿产生显著影响.This paper considers a dynamic asset allocation problem when the asset return is predictable in a continuous-time financial market. By using the separation principle, the dynamic portfolio optimization problem with predictable asset return is decomposed into two separate problems： a parameter inference problem and an optimization problem. The analytic expressions of the optimal portfolio strategy and the efficient frontier are derived by using the Lagrange duality approach and the dynamic programming approach. The result shows that both the estimate errors of the predictable variable and the time-varying investment opportunity caused by the predicative variable will lead to substantial impacts on the optimal strategy and the efficient frontier.

关 键 词：可预测性 分离定理 拉格朗日对偶方法 HJB方程. 

分 类 号：F224[经济管理—国民经济] F830.91