基于资产组合优化的市场信息价值  

Valuation of Market Information Based on Portfolio Optimization

作　　者：钱甫成 何朝林[1] QIAN Fucheng;HE Chaolin(School of Economics and Management,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学经济与管理学院,安徽芜湖241000

出　　处：《安徽工业大学学报（自然科学版）》2022年第3期330-337,共8页Journal of Anhui University of Technology（Natural Science）

基　　金：国家自然科学基金项目(71873002)。

摘　　要：假设投资者具有幂效用偏好特征,基于完全信息与不完全信息下的两类投资者资产组合优化行为,构建投资者资产组合终期财富期望效用模型;在两类投资者资产组合终期财富期望效用相等的情况下,以资产组合初始财富投入差异测度市场信息价值,分析市场信息价值与市场波动、投资期及投资者风险规避程度的关系;以上证综指与深证成指2010年3月至2020年10月的月度数据为样本进行实证研究。结果表明:市场信息价值随市场波动程度的增加而提高,随投资期和投资者风险规避程度的增加而降低;金融市场稳定有助于提高投资者财富效用;面对不完全信息市场,投资者通过自我学习和自我保护可提高投资效率。It was assumed that investors have power utility preference,based on the optimal behavior of two types of investors’asset portfolio under complete information and incomplete information,the expected utility model of investors’asset portfolio was constructed.Under the condition that the expected utility of the wealth in the final period of the asset portfolio of the two types of investors is equal,the market information value was measured by the difference of the initial wealth input of the asset portfolio.The relationship between market information value and market fluctuation,investment period and investor risk aversion was analyzed.The monthly data of Shanghai Composite Index and Shenzhen Component Index from March 2010 to October 2020 were taken as samples for empirical study.The results show that the value of market information increases with the increase of market fluctuation,and it decreases with the increase of investment period and investor risk aversion degree.The financial market stability helps to improve the wealth utility of investors.In the face of incomplete information market,investors can improve investment efficiency through self-learning and self-protection.

关 键 词：资产组合优化 市场信息价值 不完全信息市场 财富效用 

分 类 号：F830.91[经济管理—金融学]