考虑通胀风险的个人最优行为投资决策  

Optimal Behavioral Portfolio Selection for an Individual under Inflation Risk

作　　者：郭文旌[1] 蒋海雯 GUO Wen-jing;JIANG Hai-wen(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023)

机构地区：[1]南京财经大学金融学院,南京210023

出　　处：《工程数学学报》2020年第2期131-145,共15页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(71471081;71501088);教育部人文社会科学研究规划项目(15YJC910008);江苏省高校自然科学研究面上项目(15KJBD110009).

摘　　要：通胀风险是影响投资决策的一个重要因素,同时,投资者的行为特质因素对投资决策的影响也不容忽视.本文将探讨考虑通胀风险的个人最优行为的投资决策问题.首先,在金融市场中,引入通胀指数债券来对冲通胀风险.并且假设投资者具有损失厌恶的行为特质,建立了考虑通胀风险的个人最优行为投资组合模型.其次,最大化投资者最终财富值超过参考点部分的期望效用,通过鞅方法求解出最优投资策略以及最终财富的解析解,并对最优投资策略进行了性质分析和数值模拟.最后,分析结果表明,通胀风险以及投资者的损失厌恶行为特质会对最优投资策略产生较大的影响.It is well known that inflation risk is an important factor that affects investors’making decisions.Also,the influence of investors’behavioral characteristics on portfolio selections can not be ignored.This paper discusses the problem of optimal behavioral portfolio selection for an individual under inflation risk.At first,in the financial market,we introduce an inflation-linked index bond,which can be used to hedge the inflation risk.Meanwhile,investors are assumed to be loss averse.Thus,we get the optimal individual behavioral portfolio selection model under inflation risk.Then,maximizing the expected utility of the part investor’s terminal wealth exceeds the reference level,the explicit solutions for the optimal strategies and terminal wealth are derived by martingale approach,and the properties of optimal strategies are discussed by property analysis and numerical simulation.Finally,the numerical results show that the inflation risk and loss aversion indeed have a significant effect on the optimal strategies.

关 键 词：投资组合 通胀风险 损失厌恶 鞅方法 

分 类 号：F830.59[经济管理—金融学]