业绩-流动关系与预期收益率对基金动态投资策略的影响——基于损失厌恶型管理者的分析  

The impact of performance-flow relationship and expected return on the dynamic portfolio strategy of funds——An analysis based on loss-averse fund managers

作　　者：盛积良 徐思 SHENG Jiliang;XU Si(School of Statistics,Jiangxi University of Finance and Economics,Nanchang 330013,China)

机构地区：[1]江西财经大学统计学院,南昌330013

出　　处：《系统工程理论与实践》2021年第6期1397-1411,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71973056,71561011);国家自然科学基金重点项目(71531003);江西省研究生创新专项资金项目(YC2019-B088)。

摘　　要：在连续时间金融框架下,假设基金业绩与管理资金流动之间存在不对称凸关系,建立动态投资组合模型分析损失厌恶型管理者的投资策略.首先利用完全市场下的鞅方法求解模型,得到基金最优投资组合期末价值,分析业绩-流动关系与预期收益率对最优期末价值的影响.然后利用复制技术,求得基金动态最优投资组合策略的封闭解,发现资金流出系数对基金的动态投资策略无影响.数值分析发现,资金流入系数增加使得基金最优投资组合的风险暴露增加.预期收益率对管理者投资策略的影响与市场状态有关,在市场状态较好时,预期收益率的提高使管理者减少风险暴露,采取更保守的投资策略;而在市场状态较差时,预期收益率的提高使管理者增加风险暴露.Under the continuous time financial framework,assuming that there is an asymmetric convex relationship between fund performance and management fund flow,we establish a dynamic portfolio model to analyze the investment strategy of loss averse managers.Firstly,the martingale method under the complete market is used to solve the model,and the terminal value of the fund’s optimal portfolio is obtained,we analyze the impact of performance-flow relationship and expected return on the optimal terminal value.Then,using replication technology,we obtain the closed solution of the dynamic optimal portfolio strategy of the fund,and find that the fund outflow coefficient has no impact on the dynamic investment strategy of the fund,the increase of capital inflow coefficient increases the risk exposure of the fund’s optimal portfolio.The impact of expected return on managers’ investment strategy is related to the market state.When the market state is good,the increase of expected return reduces the risk exposure of the fund,and the managers adopt more conservative investment strategy;when the market state is poor,the increase of expected return makes managers increase risk exposure and investment strategy more aggressive.

关 键 词：业绩-流动关系 基金管理者 动态投资组合策略 损失厌恶 预期收益率 

分 类 号：F830[经济管理—金融学]