考虑后悔厌恶的私募股权基金投资组合优化模型  

Portfolio optimization with private equity funds considering regret aversion

作　　者：胡支军 贺阳 Hu Zhijun;He Yang(School of Mathematics and Statistics,Guizhou University,Guiyang 550025,China;Guizhou Provincial Key Laboratory of Public Big Data,Guiyang 550025,China)

机构地区：[1]贵州大学数学与统计学院,贵州贵阳550025 [2]贵州省公共大数据重点实验室,贵州贵阳550025

出　　处：《系统工程学报》2018年第3期365-377,共13页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71361003);贵州省教育厅人文社科规划资助项目(13S5D005)

摘　　要：在经典的Merton连续时间资产组合框架内引入非流动性的私募股权基金,探讨流动性约束对投资组合配置的影响.假设投资者具有终端投资组合财富的后悔厌恶型效用函数,通过求解动态承诺与投资组合优化问题,给出了投资者如何最优的向私募股权基金承诺资本,以及如何在股票和债券之间进行最优的动态再调整.通过数值模拟比较分析了后悔厌恶型投资者和CRRA型投资者的最优投资组合策略的变化情况.结果发现,由于私募股权基金非流动性的影响,后悔厌恶型投资者对私募股权基金的承诺比率低于CRRA型投资者的承诺比率,从而获得较低的投资组合财富.This paper incorporates an illiquid private equity fund into the framework of Merton＇s classic theory on continous time portfolio selection, to explore the impacts of illiquidity on the restricted investor＇s optimal portfolio allocations. Assuming an investor derives regret aversion utility from terminal portfolio wealth, the paper solves for a dynamic commitment and portfolio strategy that shows investors how to optimally commit capital to private equity fund and how to optimally rebalance between liquid stock and bonds over time.Furthermore, the optimal portfolio strategies of regret averse investors and CRRA investors are analyzed and compared. The numerical analysis demonstrates that, as a consequence from illiquidity, regret averse investors＇ commitment rate to private equity funds are lower than that of CRRA investors, and thus the regret averse investors get lower terminal portfolio wealth than the CRRA investors.

关 键 词：私募股权基金 资产配置 后悔厌恶 承诺策略 非流动性 

分 类 号：F830[经济管理—金融学] O221[理学—运筹学与控制论]